Question
A $100,000 portfolio's returns are expected to be normally distributed, with an annual geometric return of 10% and an annualized standard deviation of 20%. Assuming
A $100,000 portfolio's returns are expected to be normally distributed, with an annual geometric return of 10% and an annualized standard deviation of 20%. Assuming +/-1.65describes 90% of the distribution what is the portfolio's VaR(5%) over a two-year window?
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To calculate the portfolios Value at Risk VaR at a 5 confidence level over a twoyear window we need ...
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Engineering Economy
Authors: William G. Sullivan, Elin M. Wicks, C. Patrick Koelling
16th edition
133439275, 133439274, 9780133819014 , 978-0133439274
