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【FRM每日一题】二级:案例强化(3)

发表时间:2015/10/16 9:39:01 编辑: 告诉小伙伴:
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[编考按]A portfolio consists of two positions. The VaR of the two positions are $100 million and $20 million. If the returns of the two positions are not correlated, the VaR of the portfolio would be closest to...

        A portfolio consists of two positions. The VaR of the two positions are $100 million and $20 million. If the returns of the two positions are not correlated, the VaR of the portfolio would be closest to:

        A.$5.48 million

        B.$15.00 million

        C.$22.36 million

        D.$25.00 million

        Answer: C

        For uncorrelated positions, the answer is the square root of the sum of the squared VaRs:

       FRM每日一题


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