问一道题：NO.PZ2018122701000049 [ FRM II ]

NO.PZ2018122701000049问题如下 A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a lta of 1000, anthe options on AT&T have a lta of 20000. The Microsoft share priis $120, anthe AT&T share priis $30. Assuming ththe ily volatility of Microsoft is 2% anthe ily volatility of AT&T is 1% anthe correlation between the ily changes is 0.3, the 5-y 95% Vis 26193 25193 27193 24193 A is correct. 考点Mapping to Option Position 解析VaRMi1.65 × 2% × 120 × 1000 = 3960 VaRT= 1.65 × 1% × 30 × 20000=9900 VARP(5−y,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-y,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193VARP(5−y,95%)​=39602+99002+2×0.3×3960×9900​×5​=26193 能详细讲下原理吗？两个var的组合求法在哪讲的呀？还有就是为啥是乘根号5啊？

NO.PZ2018122701000049 问题如下 A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a lta of 1000, anthe options on AT&T have a lta of 20000. The Microsoft share priis $120, anthe AT&T share priis $30. Assuming ththe ily volatility of Microsoft is 2% anthe ily volatility of AT&T is 1% anthe correlation between the ily changes is 0.3, the 5-y 95% Vis 26193 25193 27193 24193 A is correct. 考点Mapping to Option Position 解析VaRMi1.65 × 2% × 120 × 1000 = 3960 VaRT= 1.65 × 1% × 30 × 20000=9900 VARP(5−y,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-y,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193VARP(5−y,95%)​=39602+99002+2×0.3×3960×9900​×5​=26193 如题

NO.PZ2018122701000049 问题如下 A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a lta of 1000, anthe options on AT&T have a lta of 20000. The Microsoft share priis $120, anthe AT&T share priis $30. Assuming ththe ily volatility of Microsoft is 2% anthe ily volatility of AT&T is 1% anthe correlation between the ily changes is 0.3, the 5-y 95% Vis 26193 25193 27193 24193 A is correct. 考点Mapping to Option Position 解析VaRMi1.65 × 2% × 120 × 1000 = 3960 VaRT= 1.65 × 1% × 30 × 20000=9900 VARP(5−y,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-y,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193VARP(5−y,95%)​=39602+99002+2×0.3×3960×9900​×5​=26193 最后portfoli的var不可以先算出来分别的var， 然后用组合的var再乘以1.65吗再乘以根号5？我用这个方法算了结果不一样

NO.PZ2018122701000049 问题如下 A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a lta of 1000, anthe options on AT&T have a lta of 20000. The Microsoft share priis $120, anthe AT&T share priis $30. Assuming ththe ily volatility of Microsoft is 2% anthe ily volatility of AT&T is 1% anthe correlation between the ily changes is 0.3, the 5-y 95% Vis 26193 25193 27193 24193 A is correct. 考点Mapping to Option Position 解析VaRMi1.65 × 2% × 120 × 1000 = 3960 VaRT= 1.65 × 1% × 30 × 20000=9900 VARP(5−y,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-y,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193VARP(5−y,95%)​=39602+99002+2×0.3×3960×9900​×5​=26193 和讲义上的公式不一样，能否请老师讲答案公式每一项对应的数值含义说明一下，谢谢

NO.PZ2018122701000049 问题如下 A portfolio consists of options on Microsoft and AT&T. The options on Microsoft have a lta of 1000, anthe options on AT&T have a lta of 20000. The Microsoft share priis $120, anthe AT&T share priis $30. Assuming ththe ily volatility of Microsoft is 2% anthe ily volatility of AT&T is 1% anthe correlation between the ily changes is 0.3, the 5-y 95% Vis 26193 25193 27193 24193 A is correct. 考点Mapping to Option Position 解析VaRMi1.65 × 2% × 120 × 1000 = 3960 VaRT= 1.65 × 1% × 30 × 20000=9900 VARP(5−y,95%)=39602+99002+2×0.3×3960×9900×5=26193VAR_{P(5-y,95\%)}=\sqrt{3960^2+9900^2+2\times0.3\times3960\times9900}\times\sqrt5=26193VARP(5−y,95%)​=39602+99002+2×0.3×3960×9900​×5​=26193 老师您好，我能明白题目的解法。但是在做的时候，我突然想尝试用miu ≠ 0 的那种带权重的方式求解。这里的权重应该怎么计算呢。麻烦老师解答。我的直觉是用金额直接放进去算，但是好像又不太对