问题如下图：
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解释：
老师，想问一下VaR用的是什么分布？是单尾检验是么。
NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 如题
NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 为什么不能算出1天的VaR，再乘以根号下21
NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 请问ily retuen 转换为月度renturn为什么不是用compounrate来计算？而是直接乘以21？
NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 VAR公式不是μ+-k倍标准差吗？为什么答案是k倍标准差-μ
NO.PZ2018091701000086 我算【21*expecteretrun-2.33*根号下21* stanrviation】=40787
