Question
ABC fund limits the risk of its stock portfolio based on the level of VaR (value at risk). The fund filters out all stocks with
ABC fund limits the risk of its stock portfolio based on the level of VaR (value at risk). The fund filters out all stocks with 5% VaR below -35%.
If there is a stock with an annual expected return of 14% and a standard deviation of 26%, will the fund consider buying this stock?
ABC fund limits the risk of its stock portfolio based on the level of VaR (value at risk). The fund filters out all stocks with 5% VaR below -35%.
If there is a stock with an annual expected return of 14% and a standard deviation of 26%, will the fund consider buying this stock?
Yes, 5% VaR of this stock is positive.
No, 5% VaR of this stock is negative.
Yes, 5% VaR of this stock is higher than -35%.
No, 5% VaR of this stock is lower than -35%.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Commodity Finance
Authors: Weixin Huang
2nd Edition
0857196650, 978-0857196651
