FREE Trial
Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

An investor has $2,000 invested in stock A and $5,000 in stock B. The daily volatilities of A and B are 1.5% and 1% respectively

  1. An investor has $2,000 invested in stock A and $5,000 in stock B. The daily volatilities of A and B are 1.5% and 1% respectively and the coefficient of correlation is 0.8. What is the one day 99% VaR? Assume that returns are multivariate normal.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

A Handbook Of Statistical Analyses Using Sas

A Handbook Of Statistical Analyses Using Sas

Authors: Geoff Der, Brian S Everitt

3rd Edition

1584887850, 9781584887850

More Books

Students also viewed these Mathematics questions

Question

★★★★★
Do running times of American movies differ somehow from running times of French movies? The author investigated this question by randomly selecting 25 recent movies of each type, resulting in the...

Answered: 1 week ago

Question

★★★★★
3. Describe SFA functionality relevant to salespeople.

Answered: 1 week ago

Question

★★★★★
We toss a coin 300 times and observe that in 160 of these tosses the outcome is Heads. Based on this, the relative frequency of the event Heads occur in a single toss of a coin is 160.

Answered: 1 week ago

Question

★★★★★
The financial statements at the end of Wolverine Realtys first month of operations are as follows: Instructions By analyzing the interrelationships among the four financial statements, determine the...

Answered: 1 week ago

Question

★★★★★
! Required information The annual revenues associated with several large apartment complexes are $ 2 5 0 , $ 4 0 0 , $ 3 7 5 , $ 3 0 0 , $ 4 7 5 , and $ 1 0 0 for years 0 , 1 , 2 , 3 , 4 , and 5 ,...

Answered: 1 week ago

Question

★★★★★
2. The data below relate to Raw Material W, which is stocked by Maysoon Inc. in its warehousing operation: Raw Material W Units Dollars Date Purchased sold Balance Price Purchased Sold Balance Jan. 1...

Answered: 1 week ago

Question

★★★★★
The Capacity Factor average for solar panels is 24.9%. This is approximately 6 hours per day of power production on average across the year. For a 100 MW (mega-watt) plant how much power (MWh,...

Answered: 1 week ago

Question

★★★★★
Use the link given, to complete the lab below. The link is, https://phet.colorado.edu/en/simulations/wave-interference Lab: 2-Point Interference 25 Purpose: To test the equations for 2-Point...

Answered: 1 week ago

Question

★★★★★
Zuma is deciding between a 3 0 year and 1 5 year mortgage. He plans to purchase a $ 4 0 0 , 0 0 0 and has decided to do a 2 0 % downpayment so he doesn't have PMI. He expects property taxes to be $ 3...

Answered: 1 week ago

Question

★★★★★
An ANOVA is run looking at the effect of water, sun, and water*sun on plant growth. Given the partial output below, what conclusion would you draw about the relationship of these variable(s) on plant...

Answered: 1 week ago

Question

★★★★★
Sta. Elena Winery sells 100,000 gallons of wine a year. It sells 10% of its wine in barrels, 60% in jugs, and 30% in 1-liter bottles. Its base selling price is $2 per gallon in barrels. The selling...

Answered: 1 week ago

Question

★★★★★
QUESTION TWO (20 marks) Your firm acts for SBL Bakery Limited ("SBL"), which runs a food manufacturing business in Rotherham. A schedule of the directors and shareholders in SBL together with a copy...

Answered: 1 week ago

Question

★★★★★
Multiple Choice: Present Values Select the correct answer for each of the following: 1. The time value of money concept refers to the notion that: a. When cash is received is not important, so long...

Answered: 1 week ago

Question

★★★★★
Present Value of Retirement Benefits The first president and founder of Atwood Airlines retired three years ago and the company is paying her an annual retirement ben- efit of $60,000. The airline...

Answered: 1 week ago

Question

★★★★★
Comparison of Future Cash Availability Dolphin Corporation plans to make an annual cash deposit for 12 years in a medical health program for retired employees. It can deposit $60,000 at the end of...

Answered: 1 week ago

Previous Question Next Question