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十六岁的烟火 · 2018年08月11日

问一道题：NO.PZ2016071602000011 [ FRM II ]

  1. FRM II
  2. Risk Management And Investment Management

为什么不能用contribution var来看？

问题如下图：

选项：

A.

B.

C.

D.

解释：

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妙悟先生品职答疑助手 · 2018年08月11日

因为两个组合之间有相关性并非完全独立

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