题目
You are given that X and Y are random variables, and each of which follows a standard normal distribution with Covariance (X,Y) = 0.4. What is the variance of (5X + 2Y)?
选项
A.11.0
B.29.0
C.29.4
D.37.0
答案
D
解析
VaR(5X ＋2Y)=52VaR(X) ＋22VaR(Y)＋ 2×5×2×Cov(X,Y)=37 本题解析如下： VaR(5X＋2Y)=52VaR(X) ＋22VaR(Y) ＋2×5×2×Cov(X,Y)=37