rahul.goyl
Member
Hi David,
Could you plz advice on the below. why B is the right choice.
Computing component VAR for a position using the position’s beta with respect to the entire portfolio is appropriate for returns that follow:
A) an elliptical distribution but not a normal distribution.
B) both an elliptical distribution and a normal distribution.
C) a normal distribution but not an elliptical distribution.
D) neither an elliptical distribution nor a normal distribution.
Your answer: A was incorrect. The correct answer was B) both an elliptical distribution and a normal distribution.
It is appropriate for elliptical distributions, and normal distributions are a subset of elliptical distributions.
Regards,
Rahul
Could you plz advice on the below. why B is the right choice.
Computing component VAR for a position using the position’s beta with respect to the entire portfolio is appropriate for returns that follow:
A) an elliptical distribution but not a normal distribution.
B) both an elliptical distribution and a normal distribution.
C) a normal distribution but not an elliptical distribution.
D) neither an elliptical distribution nor a normal distribution.
Your answer: A was incorrect. The correct answer was B) both an elliptical distribution and a normal distribution.
It is appropriate for elliptical distributions, and normal distributions are a subset of elliptical distributions.
Regards,
Rahul
