Question
A managed superannuation fund has an equities portfolio with a current market value of $70 million. The portfolios standard deviation has been estimated at 2.25%.
A managed superannuation fund has an equities portfolio with a current market value of $70 million. The portfolios standard deviation has been estimated at 2.25%. Based on a 99% confidence level:
What is the daily Earnings-at-risk for this portfolio?
What is the 5-day Value (earnings) at Risk?
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Financial Markets And Institutions
Authors: Anthony Saunders, Marcia Millon Cornett
1st International Edition
0071181334, 9780071181334
