Question
A portfolio consists of $450,000 in Google stock and $600,000 in Disney stock. Volatility on a daily basis are 2.2 % and 1.4% respectively with
A portfolio consists of $450,000 in Google stock and $600,000 in Disney stock. Volatility on a daily basis are 2.2 % and 1.4% respectively with a correlation coefficient of .35 between the two stocks. What is the three day 99% value at risk for the portfolio? Explain what the number means
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The International Handbook Of Shipping Finance
Authors: Manolis G. Kavussanos, Ilias D. Visvikis
1st Edition
113746545X, 978-1137465450
