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Angela · 2021年04月27日

为什么月化标准差的时候要把21天开方？

  1. CFA II
  2. Portfolio

NO.PZ2018091701000086

问题如下：

A portfolio has daily expected return of 0.03% and standard deviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly VaR should be (suppose there are 21 business days in a month):

选项：

A.

$638,420

B.

$409,900

C.

$110,500

解释：

B is correct.

考点: VaR计算

解析：将天化的收益和标准差转化月化：E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,

VaR=$(2.33*1.15%-0.63%)*20million=$409900

为什么月化标准差的时候要把21天开方？

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1 个答案

星星_品职助教 · 2021年04月27日

同学你好，

这是平方根法则的应用，假设要算T天的值，对应公式为：

①T天的μ=daily μ× T

②T天的σ=daily σ×√T

直接代入求解即可。


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