If stock returns are independently, iden...

题目

If stock returns are independently, identically, normally distribution and the annual volatility is 30%, then the daily VaR at the 99% confidence level of a stock market portfolio is approximately:

选项

A.2.41%

B.3.11%

C.4.40%

D.1.89%

答案

C

解析

「huixue_img/importSubject/1564170388773146624.png」