Kiera Reed is a portfolio manager for BCG Investments. Reed manages a $140,000,000 portfolio
consisting of 30 percent European stocks and 70 percent U.S. stocks. If the VAR(1%) of the
European stocks is 1.93 percent, or $810,600, the VAR(1%) of U.S. stocks is 2.13 percent, or
$2,087,400, and the correlation between European and U.S. stocks is 0.62, what is the portfolio
VAR(1%) on a percentage and dollar basis?
A. 2.07% and $2.90 million.
B. 1.90% and $2.90 million.
C. 2.07% and $2.67 million.
D. 1.90% and $2.67 million.
这个需要计算投资组合的百分比表示和价值表示的var
解答思路可能有问题，仅供参考：
def get_percentage_dollor_basis(portfolio_value,var_1_european,var_1_usd,coeff_euro_usd): portfolio_var_dollor=(var_1_european**2+2*coeff_euro_usd*var_1_usd*var_1_european+var_1_usd**2)**0.5 portfolio_var_percentage=portfolio_var_dollor/portfolio_value return portfolio_var_percentage,portfolio_var_dollor if __name__=='__main__': var_1_european=0.8106 var_1_usd=2.087 coeff_euro_usd=0.62 portfolio_value=140 portfolio_var_percentage,portfolio_var_dollor=get_percentage_dollor_basis(portfolio_value,var_1_european,var_1_usd,coeff_euro_usd) print('portfolio_var_percentage:{},portfolio_var_dollor:{}'.format(portfolio_var_percentage,portfolio_var_dollor))
