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Acsume that the cortelation between T and Target is - 0.17. ASSUME thatyou have $7,754,568 worth of T shares ard $14.796,636 worth of Target shares.
Acsume that the cortelation between T and Target is - 0.17. ASSUME thatyou have $7,754,568 worth of T shares ard $14.796,636 worth of Target shares. The daily standard deviation of Treturn is 0.016 and the daily standard deviation of Target return is 0.015. Use N=5 and X - 99 , the VaR of your portfolio should be
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