FRM二级精选题型解析:Kiera Reed is a portfolio

Kiera Reed is a portfolio manager for BCG Investments.

Reed manages a $140,000,000 portfolio consisting of 30 percent European stocks and 70 percent U.S.

stocks. If the VAR(1%) of the European stocks is 1.93 percent, or $810,600, the VAR(1%) of U.S.

stocks is 2.13 percent, or $2,087,400, and the correlation between European and U.S.

stocks is 0.62, what is the portfolio VAR(1%) on a percentage and dollar basis?

A) 2.07% and $2.90 million.

B) 1.90% and $2.67 million.

C) 1.90% and $2.90 million.

D) 2.07% and $2.67 million.

自己先做~

做完之后滑这儿,就能对答案





 


 

B was correct

VAR for the portfolio on a percentage and dollar basis is calculated as follows:


 

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