5334金融与交易困难数值题short

Approximate VaR Change From Rebalance

题目

A portfolio manager plans two trades and uses a local Euler approximation for total VaR. She sells 0.30 of a crowded factor sleeve whose marginal VaR is 0.26 per unit weight, and buys 0.20 of a hedge sleeve whose marginal VaR is -0.10 per unit weight. What is the approximate change in total portfolio VaR from the rebalance?

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