一同学2018-08-23 14:17:12

Consider a stock portfolio consisting of two stocks with normally distributed returns. The joint distribution of daily returns is constant over time and there is no serial correlation. Stock Epsilon has a market value of $100,000 with an annualized volatility of 22%. Stock Omega has a market value of $175,000 with an annualized volatility of 27%. Calculate the 95% confidence interval 1-day VaR of the portfolio. Assume a correlation coefficient of 0.3. Round to the nearest dollar assuming 252 business days in a year. The daily expected return is assumed to be zero. 老师您好！这道题能不能用视频里的方法讲一下？就是分别求出VaR1=Zα×σ×Pa，VaR2=Zα×σ×Pb，然后使用VaRp^2 = VaR1^2 + VaR2^2 + 2×ρ×VaR1×VaR2