4. A is correct. First, multiply portfolio standard deviation by 1.65; 0.012 x 1.65 = 0.0198.
Subtract this from the expected return; 0.0005 - 0.0198 = -0.0193. Taking the absolute value
= -0.0193 X (-1) = 0.0193. Multiplying this by the portfolio value gives a VaR estimate of
0.0193 x 600 = $11.58 million. Section 2.2.1. LO.c.
Bạn đang xem 4. - CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R49 MEASURING MANAGING MARKET RISK Q BANK
