Question
A bank holds a trading portfolio (long position) valued at $200,000. The distribution of the daily return on this portfolio is normally distributed with a
A bank holds a trading portfolio (long position) valued at $200,000. The distribution of the daily return on this portfolio is normally distributed with a mean zero and standard deviation of 3%. What is the DEAR (in $) under 5-percent most adverse market movement scenario? (Please only provide the magnitude of the DEAR you calculate, i.e. do not key in - in your answer)
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Modern Portfolio Theory and Investment Analysis
Authors: Edwin Elton, Martin Gruber, Stephen Brown, William Goetzmann
9th edition
9781118805800, 1118469941, 1118805801, 978-1118469941
