问题如下图:
选项:
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解释:
Lower bound 不应该是correlation等于负1的时候吗?
NO.PZ2019042401000006 问题如下 A portfolio htwo assets (whireturns are normally stribute with equamount investment. Whiof the following is correregarng portfolio VaR? A.when correlation=0, we crive the upper bounof portfolio VaR. B.when correlation=1, we crive the lower bounof portfolio VaR. C.when correlation=1, we crive the upper bounof portfolio VaR. portfolio Vchigher ththe sum of the inviVaRs. C is correct. 考点Portfolio VaR解析首先定错误,组合的分散化效应,portfolio VaR无论如何不会高于inviVaR的总和。correlation=0, portfolio VaR=sqr(VaR1²+VaR2²) , lower boun correlation=1,portfolio VaR= VaR1 + VaR2 , upper boun 因此,C正确。 老师这道题为什么lower boun是相关系数等于-1的情况
当相关系数为1时,portfolio的VAR就是VAR1+VAR2吧,这个和是upper还是lower boun什么关系呢?不太理解