题目
Mixed Fund has a portfolio worth USD 12,428,000 that consists of 42% of fixed income investments and 58% of equity investments. The 95% annual VaR for the entire portfolio is USD 1,367,000 and the 95% annual VaR for the equity portion of the portfolio is USD 1,153,000. Assume that there are 250 trading days in a year and that the correlation between stocks and bonds is zero. What is the 95% daily VaR for the fixed income portion of the portfolio?
选项
A.USD 21,263
B.USD 46,445
C.USD 55,171
D.USD 72,635
答案
B
解析
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