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Why is VaR proportional to square root of time?
Why is VaR proportional to square root of time?
We know that VaR=R-z*sigma. R is proportional to time, standard deviation is proportional to square root of time. Therefore, VaR should NOT be proportional to square root of time. What am I missing? |
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发表于 2013-4-28 06:46
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