5331金融与交易困难数值题short
Covariance Contribution Implied By VaR Budget
题目
A Gaussian portfolio uses z=2.0 and has total volatility 0.25. A position currently has weight 0.4, and the risk committee gives it a component VaR budget of 0.08. What covariance contribution (Sigma w)_i would exactly exhaust that budget?
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