问题如下图：
选项：
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解释：
解析里 portfolio的standard deviation单位应该是million吧？ 这里写成16.64%了？
哎呀这个考虑权重了 是我算错了 请老师忽略我的问题 抱歉
这个题的sigma给的是百分比形式 为什么在计算组合的sigma时不考虑权重了呢？
我这种做法感觉更简单，这样也正确的吗？解析的答案完全看不懂，用的是什么解答方法啊，好复杂不懂，需要掌握吗？
您好请问
$1.670 million. $2.810 million. $3.243 million. A The first step in solving for the 10-y Vrequires calculating the covarianmatrix. lcov11=σ12=0.022=0.0004cov22=σ22=0.012=0.0001cov12=ρ1,2×σ1×σ2=0.4×0.02×0.01=0.00008{l}{\mathrm{cov}}_{11}=\sigma_1^2=0.02^2=0.0004\\{\mathrm{cov}}_{22}=\sigma_2^2=0.01^2=0.0001\\{\mathrm{cov}}_{12}=\rho_{1,2\times}\sigma_1^{}\times\sigma_2=0.4\times0.02^{}\times0.01=0.00008lcov11=σ12=0.022=0.0004cov22=σ22=0.012=0.0001cov12=ρ1,2×σ1×σ2=0.4×0.02×0.01=0.00008 Thus, the covarianmatrix crepresenteas: (0.0004amp;0.000080.00008amp;0.0001)(\begin{array}{cc}0.0004 0.00008\\0.00008 0.0001\enarray})(0.00040.00008amp;0.00008amp;0.0001) Next, the stanrviation of the portfolio, σp\sigma_pσp, is terminefoJlows: Step 1: Compute βh\beta_hβh × l[7,5](0.0004amp;0.000080.00008amp;0.0001)=[(7×0.0004)+(5×0.00008)amp;(7×0.00008)+(5×0.0001)]=[0.0032amp;0.00106]{l}{\lbrack7,5\rbrack}{(\begin{array}{cc}0.0004 0.00008\\0.00008 0.0001\enarray})}\\={\lbrack{(7\times0.0004)}+{(5\times0.00008)}\begin{array}{c\enarray}{{(7\times0.00008)}+{(5\times0.0001)}\rbrack}}\\={\lbrack0.0032\begin{array}{c\enarray}}{0.00106\rbrack}l[7,5](0.00040.00008amp;0.00008amp;0.0001)=[(7×0.0004)+(5×0.00008)amp;(7×0.00008)+(5×0.0001)]=[0.0032amp;0.00106] Step 2: Compute ( βh\beta_hβh × C)* βv\beta_vβv: l[0.0032amp;0.00106][75]=(0.0032×7)+(0.00106×5)=0.0277{l}{\lbrack0.0032\begin{array}{c\enarray}}{0.00106\rbrack}{\lbrack\begin{array}{c}7\\5\enarray}\rbrack}\\={(0.0032\times7)}+{(0.00106\times5)}=0.0277l[0.0032amp;0.00106][75]=(0.0032×7)+(0.00106×5)=0.0277 Step 3:Compute σp\sigma_pσp: σp=βh×C×βV=0.0277=0.1664\sigma_p=\sqrt{\beta_h\times C\times\beta_V}=\sqrt{0.0277}=0.1664σp=βh×C×βV =0.0277 =0.1664 The 10-y portfolio VaR(in millions) the 99% confinlevel is then computeas: VaRP=σPαX=0.1664×2.33×10=VaR_P=\sigma_P\alpha\sqrt X=0.1664\times2.33\times\sqrt{10}=VaRP=σPαX =0.1664×2.33×10 =$1.226 million 老师，请问这个解析讲义上有类似例题么？我听完了市场风险部分，但是对解析过程没有印象啊…
