There exist two portfolios A and B. Each has their individual VaR. When putting them together in a new portfolio C, which of the following will be always true?
A
VaR (C) < VaR (A) + VaR (B)
B
VaR (C) > VaR (A) + VaR (B)
C
VaR (C) = VaR (A) + VaR (B)
D
None of the above
如果A B 是相互独立的,那么这题是选A吗