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Should be: Monthly Portfolio SD: sqrt[ (.5^2*3.2^2)+(.5^2*5.26^2)+(2*.5*.5*.35*5.26*3.2)] = sqrt[40.8532] = 3.524557
Monthly VAR: .9-[1.65*3.524557] = -4.91552/100*100000000 = -4915519
Weekly SD = 3.524557*(sqrt(12/sqrt(52)) = 1.693142
Weekly VAR = .207692-[1.65*1.693142] = -2.58676/100*100000000 = -2586765
NO EXCUSES |
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发表于 2011-7-11 19:29
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