问题如下:
Assume that portfolio daily returns are independent and identically normally distributed. Sam Neil, a new quantitative analyst, has been asked by the portfolio manager to calculate portfolio VARs over 10, 15, 20, and 25 days. The portfolio manager notices something amiss with Sam’s calculations, displayed here. Which one of the following VARs on this portfolio is inconsistent with the others?
选项: VAR(10-day) = USD 316M
VAR(15-day) = USD 465M
C.VAR(20-day) = USD 537M
D.VAR(25-day) = USD 600M
解释:
ANSWER: A
We compute the daily VAR by dividing each VAR by the square root of time. This gives , then 120, 120, and 120. So, answer A is out of line.
这道题没有看懂计算过程