问题如下图:
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解释:
这道题用的什么公式呢?没看懂为什么根号下变成了1
NO.PZ2016071602000009 问题如下 The T pension funh68%, or about $13 billion, investein equities. Assume a normstribution anvolatility of 15% per annum. The funmeasures absolute risk with a 95%, one-yeVAR, whigives $3.2 billion. The pension plwants to allocate this risk to two equity managers, eawith the same Vbuet. Given ththe correlation between managers is 0.5, the Vbuet for eashoul A.$3.2 billion B.$2.4 billion C.$1.9 billion $1.6 billion C is correct. Call x the risk buet allocation to eamanager. This shoulsuthx2 + x2 + 2ρxx = $3.22. Solving for x1+1+2ρ\sqrt{1+1+2\rho}1+1+2ρ =x 3\sqrt33 = $3.2, we finx = $1.85 billion. Answer is incorrebecause it refers to the totVAR. Answer is incorrebecause it assumes a correlation of zero. Answer is incorrebecause it simply vis the $3.2 billion V2, whiignores versification effects. 如题
NO.PZ2016071602000009 老师,想问一下这道题的考点与对应知识点在讲义中的位置,谢谢!
为什么权重wi是1,不是每个0.5?