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小小悟空yu · 2021年11月10日

问一道题：NO.PZ2018122701000044 [ FRM II ]

  1. FRM II
  2. Market Risk Measurement And Management

var不是没有次可加性吗？为什么可以diversified

问题如下图：

选项：

A.

B.

C.

D.

解释：

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1 个答案

品职答疑小助手雍 · 2021年11月10日

同学你好，这要一码归一码了，var不满足次可加性的例子其实也是一种比较极端的例子，不过这例子确实就让var被定性了不具备次可加性。

不过一般来说还是可以算diversified var的。

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