问题如下:
If the assets in a portfolio are perfectly correlated, which of the following statements is correct ?
选项:
A.The portfolio VaR is equal to the sum of each asset's marginal VaR.
B.The portfolio VaR is equal to the undiversified VaR.
C.The portfolio VaR is equal to the diversified VaR.
D.There is diversification effect in this portfolio.
解释:
B is correct.
考点:分散化效果
解析:因为每个资产的相关性都是1,所以整体组合的VaR也就等于undiversified VaR,组合没有分散化效果。
如果答案寫成The portfolio VaR is equal to the sum of each asset's VaR.
這句話對不對
其實還是沒有很懂,marginalVar和ComponentVar都是啥