NO.PZ2016071602000011
问题如下:
A risk manager assumes that the joint distribution of returns is multivariate normal and calculates the following risk measures for a two-asset portfolio:
If asset 2 is dropped from the portfolio, what is the reduction in portfolio VAR?
选项:
A.USD 15.0
B.USD 38.3
C.USD 44.0
D.USD 46.6
解释:
B is correct. This is 61.6 minus the portfolio VAR of asset 1 alone, which is USD 23.3, for a difference of 38.3.
我的理解是如果把第一个资产拿掉的话,这是portfolio var是多少。 老师在课堂上不是说过component var考虑了分散化,所有资产的cvar加和等于portfolio var。那么为什么不用原来的portfolio var 减去asset 1的cvar 而得到新的porfolio var呢