Question
9. Consider an investment consisting of 1,700,000 dollars investment in index A and 2,000,000 investment in index B. Assume that daily volatility of each asset
9. Consider an investment consisting of 1,700,000 dollars investment in index A and 2,000,000 investment in index B. Assume that daily volatility of each asset is 1% and correlation of returns is 0.4. Calculate 1 day and 10 days Value-At-Risk with 97 percent confidence.
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Peggy L. Hedges, Philip Chang, Keith C. Brown, Hedges Reilly Brown
1st Canadian Edition
0176500693, 978-0176500696
