volatility

NO.PZ2023040601000028

问题如下：

Later that day, Woolridge receives an e-mail from Alexander asking her to estimate the dollar VaR at the 5% level for the firm’s developing market equity fund. Woolridge estimates VaR using the parametric method (assuming normal distribution) with the following inputs:

Using the inputs in Exhibit 1, Woolridge’s estimate of VaR is most likely closest to:

选项：

$6.5 million.

$18.9 million.

$10.5 million.

解释：

Step 1 Multiply the portfolio standard deviation by 1.65

0.013 × 1.65 = 0.0215

Step 2 Subtract the answer obtained in Step 1 from the expected return

0.0004 – 0.0215 = –0.0211

Step 3 Because VaR is expressed as a positive number, change the sign of step 2

Change –0.0211 to 0.0211

Step 4 Multiply the result in Step 3 by the value of the portfolio

$500,000,000 × 0.0211 = $10,525,000

想问一下这个volatility不应该是平方的形式吗，不是应该先开方再进行计算吗

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品职助教_七七 · 2024年05月12日

嗨，努力学习的PZer你好：

1）volatility更多的是用来描述标准差，方差更多的是用variance来描述。

2）对于这道题来说，还可以通过表格来辅助判断。return是0.04%，相当于单位是百分号。volatility的衡量尺度和return是一致的，也是1.30%。这种情况就是标准差。如果是方差，通常会用百分号的平方来表示单位。

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加油吧，让我们一起遇见更好的自己！

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NO.PZ2023040601000028 问题如下 Later thy, Woolrie receives e-mail from Alexanr asking her to estimate the llVthe 5% level for the firm’s veloping market equity fun Woolrie estimates Vusing the parametric metho(assuming normstribution) with the following inputs:Using the inputs in Exhibit 1, Woolrie’s estimate of Vis most likely closest to: A.$6.5 million. B.$18.9 million. C.$10.5 million. Step 1 Multiply the portfolio stanrviation 1.650.013 × 1.65 = 0.0215Step 2 Subtrathe answer obtainein Step 1 from the expectereturn0.0004 – 0.0215 = –0.0211Step 3 Because Vis expressea positive number, change the sign of step 2Change –0.0211 to 0.0211Step 4 Multiply the result in Step 3 the value of the portfolio$500,000,000 × 0.0211 = $10,525,000 5% level 不是对应1.96吗？

2023-08-06 22:14 1 · 回答

volatility

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