问一道题：NO.PZ2016082404000007

Assume that portfolio daily returns are independent and identically normally distributed. Sam Neil, a new quantitative analyst, has been asked by the portfolio manager to calculate portfolio VARs over 10, 15, 20, and 25 days. The portfolio manager notices something amiss with Sam’s calculations, displayed here. Which one of the following VARs on this portfolio is inconsistent with the others?

选项：

VAR(10-day) = USD 316M

VAR(15-day) = USD 465M

VAR(20-day) = USD 537M

VAR(25-day) = USD 600M

解释：

ANSWER: A

We compute the daily VAR by dividing each VAR by the square root of time. This gives $\frac{316}{\sqrt{10}}=100$, then 120, 120, and 120. So, answer A is out of line.

这道题没有看懂计算过程