问一道题：NO.PZ2018091701000086-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 如题

2024-07-29 10:22 2 · 回答

NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 为什么不能算出1天的VaR，再乘以根号下21

2024-05-20 22:59 1 · 回答

NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 请问ily retuen 转换为月度renturn为什么不是用compounrate来计算？而是直接乘以21？

2024-01-05 06:58 1 · 回答

NO.PZ2018091701000086 问题如下 A portfolio hily expectereturn of 0.03% anstanrviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly Vshoul(suppose there are 21 business ys in a month): A.$638,420 B.$409,900 C.$110,500 B is correct.考点: VaR计算解析将天化的收益和标准差转化月化E(Rp)=0.03%*21=0.63%, σp =0.25%*(21)0.5=1.15%,VaR=$(2.33*1.15%-0.63%)*20million=$409900 VAR公式不是μ+-k倍标准差吗？为什么答案是k倍标准差-μ

2023-08-29 13:36 1 · 回答

NO.PZ2018091701000086 我算【21*expecteretrun-2.33*根号下21* stanrviation】=40787

2022-01-01 18:16 1 · 回答

问一道题：NO.PZ2018091701000086

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