Question
A portfolio consists of $575,000 in Microsoft stock and $725,000 in MasterCard stock. Volatility on a daily basis are 1.9 % and 1.25% respectively with
A portfolio consists of $575,000 in Microsoft stock and $725,000 in MasterCard stock. Volatility on a daily basis are 1.9 % and 1.25% respectively with a correlation coefficient of .45 between the two stocks. What is the five day 98% value at risk for the portfolio? Explain what the number means?
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ISE Analysis For Financial Management
Authors: Robert C. Higgins Professor, Jennifer Koski
13th International Edition
1265042632, 9781265042639
