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发帖数: 331 | 1 Take two independent random variables X and Y with the
following common distribution.
P(X = 0) = P(Y = 0) = 99.4%,
P(x = −1) = P(Y = −1) = 0.6%. Set = 1%.
From the de
nition, we have that VaR (X) = VaR (Y ) = 0.
If we consider Z = (X + Y )/2, we obtain that VaR (Z) = 1,
我怎么觉得VaR (Z) = 1/2 |
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