dmy949

回复  etiennechi


   年收益除以250天把年度STD处以250的平方根，然后日平均收益减去2.33个日STD,然后还 ...
wangshuoyuan 发表于 2012-6-6 19:34

    I think this is quite a innovative way in calculating portfolio var. However, I'm thinking that you might have to weigh each individual var by taking the power of their respective weights, which is pretty much like the way calculating portfolio standard deviation.

dmy949

Which asset best repress the human capital: equity,  AAA CORPORTAT BOND, GOVERNMENT BOND, AMORTIZED  ...
dpictureq 发表于 2012-6-8 16:00

    I chose aaa corporate bond on exam but after reconsider the situation at lunch that day, the answer is more likely to be amortized bond. Human capital is amortizing and the par reduce to 0 when retired, all other instriments are bullet structure. I remember it accounts above 6 marks, what a pity.