4933数理金融困难数值题short
Infer Portfolio Covariance Loading From Component VaR 18
题目
For a linear Gaussian portfolio, z_alpha=1.96, sigma_p=0.25, w_i=0.5, and the component VaR is 0.1176. What covariance loading (Sigma w)_i is implied?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
你的答案