问题如下：
Based on Exhibit 1, the daily 5% VaR estimate is closest to:
选项：
A.1.61%
2.42%.
2.69%.
解释：
C is correct. Measuring VaR at a 5% threshold produces an estimated value at risk of 2.69%.
From Exhibit 1, the annual portfolio return is 14.1% and the standard deviation is 26.3%. Annual values need to be adjusted to get their daily counterparts.Assuming 250 trading days in a year, the expected annual return is adjusted by dividing by 250 and the standard deviation is adjusted by dividing by the square root of 250.
Thus, the daily expected return is 0.141/250 = 0.000564 and volatility is 0 263/ the square root of 250. = 0.016634.
5% daily VaR = E(Rp) – 1.65σp = 0.000564 – 1.65(0.016634) = –0.026882. The portfolio is expected to experience a potential minimum loss in percentage terms of 2.69% on 5% of trading days.
我的问题是：表格中告知2个ETF之前的相关系数是0.9，我们在使用标准差公式换算时，年标准差=根号250*日标准差。这个公式的前提应该是ETF收益率之间的相关系数=0，才能推到至这个公式，而题目答案没有考虑这一点是否能帮助说明。另外题目中的组合标准差我自己算了1遍，不管是假设收益率之间相关系数=0，还是=0.9，数字都与表格中不符合，烦请也帮助说明，谢谢
