Question
A stock portfolio has a beta of 4 with respect to an equity index risk factor. The 1% annual equity VaR of the portfolio is
A stock portfolio has a beta of 4 with respect to an equity index risk factor. The 1% annual equity VaR of the portfolio is $15,000. What is the 1% 10-day VaR of the index? Assume both the index and portfolio have zero discounted expected return.
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Contemporary Financial Management
Authors: Don Cyr, Alfred Kahl, William Rentz, R. Moyer
1st Edition
017616992X, 978-0176169923
