16. Value-at-Risk (VaR) Statistic (LO4, CFA6) Using the same return means and standard deviations as in Problem

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16. Value-at-Risk (VaR) Statistic (LO4, CFA6) Using the same return means and standard deviations as in Problem 15 for Tyler Trucks and Michael Moped Manufacturing stocks, but assuming a return correlation of −.5, what is the smallest expected loss for your portfolio in the coming month with a probability of 5 percent?

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Fundamentals Of Investments Valuation And Management

ISBN: 9781260013979

9th Edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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