A portfolio manager estimates that the volatility of her daily portfolio returns is 1.2%. She also...
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A portfolio manager estimates that the volatility of her daily portfolio returns is 1.2%. She also expects this portfolio to bring a return of 6% per year. Assume that there are 252 trading days in a year. The current value of her portfolio is $10,000,000. (a) (b) (c) Calculate a 5-day VaR ($) at the 97,5% confidence level What is the 95% confidence interval of the value of this portfolio after 20 days? Suppose the value of a portfolio dropped by $555,000 in 10 days. What is the chance of this happening? (d) Up to what horizons (number of days) can she hold this portfolio with a 99% confidence that her total loss will not be more than 30%? Show your work. State your answer in number of days A portfolio manager estimates that the volatility of her daily portfolio returns is 1.2%. She also expects this portfolio to bring a return of 6% per year. Assume that there are 252 trading days in a year. The current value of her portfolio is $10,000,000. (a) (b) (c) Calculate a 5-day VaR ($) at the 97,5% confidence level What is the 95% confidence interval of the value of this portfolio after 20 days? Suppose the value of a portfolio dropped by $555,000 in 10 days. What is the chance of this happening? (d) Up to what horizons (number of days) can she hold this portfolio with a 99% confidence that her total loss will not be more than 30%? Show your work. State your answer in number of days
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Answer rating: 100% (QA)
a The 5day VaR at the 975 confidence level can be calculated as follows 5day VaR portfolio value x volatility x zscore where zscore is the number of s... View the full answer
Related Book For
Financial Management for Public Health and Not for Profit Organizations
ISBN: 978-0132805667
4th edition
Authors: Steven A. Finkler, Thad Calabrese
Posted Date:
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