FRM-市场风险-测试题1--python

A $2 million balanced portfolio is comprised of 40 percent stocks and 60 percent intermediate

bonds. For the next year, the expected return on the stock component is 9 percent and the

expected return on the bond component is 6 percent. The standard deviation of the stock

component is 18 percent and the standard deviation of the bond component is 8 percent. What

is the annual VAR  for the portfolio at a 1 percent probability level if the correlation between the

stock and the bond component is 0.25?

answer:python code

#第一步，计算组合的均值
portofolio_returns=0.4*0.09+0.6*0.06
#计算组合的标准差
portofolio_std=((0.4*0.18)**2+(0.6*0.08)**2+2*0.25*0.4*0.18*0.6*0.08)**0.5
#组合的价值
portofolio_value=2000000000
#组合的var
var=portofolio_value*(portofolio_returns-2.33*portofolio_std)
print('组合的var',var)