NO.PZ2023100905000006
问题如下：
Suppose that portfolio XYZ hasa $1,000,000 portfolio invested in a stock that has a daily standard deviationof 2%. The current bid-ask spread of that stock is 1%. Assuming a constantspread, what is the liquidity-adjusted VaR (LVaR) at the 95% confidence level?
选项：
A.
$5,000
B.
$38,000
C.
$44,200
D.
$43,000
这道题的var是1000000*1.65*2%，那LC部分怎么算
