VaR [4] You own a portfolio with a value today of 10 million. The standard deviation of

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VaR [4]

You own a portfolio with a value today of 10 million. The standard deviation of the weekly return is 0.01. Assuming that weekly returns are normally distributed, estimate Value at Risk (VaR) on a weekly basis with a confidence level of 5%.

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Lectures On Corporate Finance

ISBN: B00RGENH5I

1st Edition

Authors: Peter L Bossaerts ,Bernt Arne Odegaard

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Question Posted: Oct 25, 2024 06:00 AM

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VaR [4] You own a portfolio with a value today of 10 million. The standard deviation of

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Lectures On Corporate Finance

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