If the assets in a portfolio are perfectly correlated, which of the following statements is correct ?
A The portfolio VaR is equal to the sum of each asset's marginal VaR.
B The portfolio VaR is equal to the undiversified VaR.
C The portfolio VaR is equal to the diversified VaR.
D There is diversification effect in this portfolio.
想問這一題的A和B區別是什麼？謝謝。
