[機統] 和portfolio相關的機率論問題!
Suppose that a portfolio of assets is worth $5,000,000 and that in 5 days,
the portfolio is worth $5; 000; 000+Δ.
Assume that Δ ~ N(μ;σ^ 2), where μ = 90; 000 and σ = 145; 000.
Find the 5-day 99% VaR for the portfolio.
What is the 5-day 99% VaR if Δ = σT6+μ, where T6 is a random variable
with a t-distribution and 6 degrees of freedom?
From a risk-management perspective, what are the implications of assuming
that Δ follows a normal distribution or a t distribution?
What are the implications of assuming μ = 90; 000, as opposed to, say,
μ= 0? In a more realistic setting,
how would you decide which distribution and which value of μ to use?
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09/19 14:21, , 1F
09/19 14:21, 1F