时间：2018-03-19 16:11 作者：FRM 来源：FRM
| Monthly Returns | |||||||
| -22.46% | 9.26% | -4.69% | -20.66% | -2.77% | 1.17% | -16.11% | -6.73% |
| 0.57% | 12.56% | -18.26% | -32.81% | 24.15% | -34.26% | -5.49% | -19.76% |
| -34.75% | -12.02% | 32.74% | -31.35% | 13.68% | -31.13% | 7.07% | -33.56% |
| -20.37% | 30.27% | 31.09% | -3.26% | -14.42% | 4.75% | 15.63% | -11.57% |
| 7.23% | -20.77% | -19.61% | -2.42% | -30.59% | 28.83% | -22.25% | -10.26% |
A) $6,852,000.
B) $7,200,000.
C) $9,000,000.
D) $16,725,000.
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自己先做~
做完之后滑这儿，就能对答案
Sorted monthly returns (from low to high, in columns) are as follows:
| -34.75% | -31.35% | -22.25% | -19.61% | -11.57% | -4.69% | 0.57% | 6.35% |
| -34.26% | -31.13% | -20.77% | -18.26% | -10.26% | -3.26% | 0.95% | 7.07% |
| -33.56% | -30.59% | -20.66% | -16.11% | -6.73% | -2.83% | 1.17% | 7.23% |
| -33.16% | -23.08% | -20.37% | -14.42% | -6.37% | -2.77% | 1.58% | 8.35% |
| -32.81% | -22.46% | -19.76% | -12.02% | -5.49% | -2.42% | 4.75% | 9.26% |
The 5% lowest return is the 2nd value (2/40 = 0.05), which is -34.26%% Therefore 5% VAR for the portfolio = 0.3426*$20,000,000 = $6,852,000
