问题如下：
A portfolio has two assets with equal amount investment. Which of the following is correct regarding portfolio VaR?
选项：
A.when correlation=0, we can derive the upper bound of portfolio VaR.
B.when correlation=1, we can derive the lower bound of portfolio VaR.
C.when correlation=1, we can derive the upper bound of portfolio VaR.
D.portfolio VaR can be higher than the sum of the individual VaRs.
解释：
C is correct.
考点：Portfolio VaR
解析：首先选项D肯定错误，组合的分散化效应，portfolio VaR无论如何不会高于individual VaR的总和。
correlation=0, portfolio VaR=sqr(VaR1²+VaR2²) , lower bound. correlation=1，portfolio VaR= VaR1 + VaR2 , upper bound. 因此，选项C正确。
当相关系数为1时，portfolio的VAR就是VAR1+VAR2吧，这个和是upper还是lower bound有什么关系呢？不太理解
