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stephyten · 2019年02月08日

问一道题:NO.PZ2016071602000013

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


Ⅰ的解释不理解,课程讲解risk budget先定好分数线,再分权重,risk budget可能都不是真实VAR,而是一个总体目标,那分解下来的为什么就可以用individual VAR来代表呢?用risk budget权重的公式来看,emerging mkt也是最小的,但不理解这个解释,谢谢!


1 个答案

品职答疑小助手雍 · 2019年02月08日

同学你好,这题就是上课讲的一道例题,总体的目标定了,每个asset class的情况也要通过的自身的情况来决定分配比例的啊,这里就用每个的individual var了,参考var and risk budgeting第三个视频一倍速的19分钟左右

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