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A portfolio has value $5,000 and a % beta of 1.5 relative to a single market factor which has a VaR of 20%. What is
A portfolio has value $5,000 and a % beta of 1.5 relative to a single market factor which has a VaR of 20%. What is the portfolio VaR in dollar terms?
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Contemporary Financial Management
Authors: R. Charles Moyer, James R. McGuigan, William J. Kretlow
11th Edition
0324653506, 978-0324653502
