A trader has $1,000 to invest.The trader can either buy 1,000 shares of ABC at $1, or
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A trader has $1,000 to invest.The trader can either buy 1,000 shares of ABC at $1, or buy 1 share of XYZ, for $1,000. The bid-ask spread for ABC is $0.01, and for XYZ is $1. Both stocks have an annualized return standard deviation of 16%. What is the one-day 95% LVaR for each of these choices. For this question, assume that returns are normally distributed and that there are 256 business days per year.
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Related Book For 
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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