5322金融与交易简单数值题short

Maximum Scale Of Second Sleeve Under VaR Cap

题目

Two independent sleeves have zero-mean normal daily PnL. Sleeve A has standard deviation 6 million and cannot be changed. Sleeve B has standard deviation 8 million but can be scaled by a factor lambda. Using 1-day 99% delta-normal VaR with z=2.326, what is the largest lambda allowed if total VaR must not exceed 20 million?

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