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aileen20180623 · 2022年01月01日

价格

  1. CFA II
  2. Portfolio

NO.PZ2018091701000086

问题如下：

A portfolio has daily expected return of 0.03% and standard deviation of 0.25%. Assume the portfolio’s market value is $20million, its 1% monthly VaR should be (suppose there are 21 business days in a month):

选项：

A.

$638,420

B.

$409,900

C.

$110,500

解释：

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

我算【21*expected retrun-2.33*根号下21* standard deviation】=40787

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1 个答案

星星_品职助教 · 2022年01月03日

同学你好，

这么计算没有问题，细微差异源自分步计算时，对于根号下21的四舍五入处理。

选择最接近的一个答案就可以。

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