NO.PZ2023101902000019
问题如下:
You are asked to evaluate the VaR of a portfolio of two stocks, A and B. estimated at the 95% confidence level and gather the information in the following table:
What is the difference between the undiversified VaR and diversified VaR of this portfolio?
选项:
A.USD 314,487
B.USD 331,287
C.USD 353,550
D.USD 376,000
可以列一下这道题的计算过程吗