A portfolio consists of both MTN and RMB shares. The 10-day 95% VaR for the portfolio...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
A portfolio consists of both MTN and RMB shares. The 10-day 95% VaR for the portfolio of MTN shares is R2 505 400, the 10-day 95% VaR for the portfolio of RMB shares is R894 500 and the 10- day 95% VaR for the portfolio of both MTN and RMB shares is R3 303 000, respectively. The benefit of diversification is equal to R Enter a numerical number without spaces or commas for thousand separators (E.g 17224) If MTN and RMB were perfectly correlated, then the VaR for both portfolios of MTN and RMB would be the VaR for the MTN portfolio plus the Var for RMB portfolio. A portfolio consists of both MTN and RMB shares. The 10-day 95% VaR for the portfolio of MTN shares is R2 505 400, the 10-day 95% VaR for the portfolio of RMB shares is R894 500 and the 10- day 95% VaR for the portfolio of both MTN and RMB shares is R3 303 000, respectively. The benefit of diversification is equal to R Enter a numerical number without spaces or commas for thousand separators (E.g 17224) If MTN and RMB were perfectly correlated, then the VaR for both portfolios of MTN and RMB would be the VaR for the MTN portfolio plus the Var for RMB portfolio.
Expert Answer:
Related Book For
Posted Date:
Students also viewed these mathematics questions
-
3. You are developing a new drug to treat cancers. You cultured HepG2 (liver cancer cell line) and treated them with Drug A dissolved in DMSO. You tested cells with 96 well cell culture plate and...
-
The equation of a circle having center (2-3) and passing through the intersection of two lines x+3y=-1 and 2x-y=5 is ?
-
A portfolio consists of 50% equity index fund and 50% fixed income index fund. The portfolio will be reallocated using the constant weighting method. More details are shown below: Fund Shares Net...
-
I have this data frame with the years and values, can you make a model to predict the value of meats,fish,fruits and vegetables and grains? based on the current values of the table and historical...
-
When the atria contract, the blood flows a. Into the attached blood vessels. b. Into the ventricles. c. Through the atrioventricular valves. d. To the lungs. e. Both b and c are correct.
-
Contact an automobile dealership and find outthe full out-of-pocket cost of purchasing a specific model of car if you were to pay cash for it.Also find out the details of the costs that are...
-
"A theoretically correct measure of income does not exist in the real world in which accountants must operate." Required a. What is meant by the phrase "a theoretically correct measure of income"? b....
-
You have been given the expected return data shown in the first table on three assets'F, G, and H'over the period 20132016. Using these assets, you have isolated the three investment alternatives...
-
Please see the attached. A project has the following cash flows: 0 1 2 3 ($500)$100.00$200$270.00 What is the project's NPV if the interest rate is 6%? Round to two decimal places.
-
Below are incomplete financial statements for Benson. Incorporated. Requlred: Calculate the missing amounts. table [ [ BENSON , INCORPORATED ] , [ Income Statement ] , [ Year ended Decem ber 3 1 , 2...
-
Alan is recording payroll that was processed outside of QuickBooks. Which QuickBooks function would be most useful? Payroll summary Pay bills Journal entries New invoice
-
A vibration isolation unit consists of two blocks of hard rubber bonded to plate AB and to rigid supports as shown. For the type and grade of rubber used, the allowable shear stress is 5.5% *SN (MPa)...
-
compute the slope of the tangent line to 2(x + y2)2 - 25(x2 y2) = 0 at (3, 1), with a precision of two digits after the decimal point (meaning that you should correctly identify all digits left of...
-
What is the best option contraceptives for minors age 14-17 years old. Popetentiate with uptodate resounces and citations?
-
Simplify: [3 (cos 15 + isin 15)]4
-
4. (a) A group project consists of 9 individual tasks that need to be completed by the fewest number of people possible. The maximum allowable time to complete the project is six days, and the tasks...
-
A Crucial Framework for Inclusive Social Change In the contemporary world, the struggle for equality and social justice has become increasingly complex. Traditional approaches that focus on single...
-
What is the role of business risk analysis in the audit planning process?
-
Suppose that the true model is Y i = 1 X i + u i (1) but instead of fitting this regression through the origin you routinely fit the usual intercept present model: Y i = 0 + 1 X i + v i . (2)...
-
Refer to the child mortality example discussed in Chapter 8 (Example 8.1). The example there involved the regression of the child mortality (CM) rate on per capita GNP (PGNP) and female literacy rate...
-
Estimating : The CochraneOrcutt (CO) iterative procedure. As an illustration of this procedure, consider the two-variable model: Y t = 1 + 2 X t + u t .. (1) and the AR(1) scheme u t = u t 1 + t ,...
-
Question: Keith is driving while intoxicated. He swerves into the wrong lane and causes an accident, seriously injuring Caroline. Which statement is true? (a) Caroline could sue Keith, who might be...
-
Question: A supervisor reprimanded an employee for eating in a restaurant when he should have been at work. Later, the employee showed up at the supervisor's office and shot him. Although the...
-
Question: Marko owned a cat and allowed it to roam freely outside. In the three years he had owned the pet, the animal had never bitten anyone. The cat entered Romi's garage. When Romi attempted to...
Study smarter with the SolutionInn App