Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Sep 10, 2024

An investor has $2,500 invested in stock A and $5,000 in stock B. The yearly volatilities of A and B are 32% and 24% respectively

An investor has $2,500 invested in stock A and $5,000 in stock B. The yearly volatilities of A and B are 32% and 24% respectively and the coefficient of correlation is 0.7. What is the benefit of diversification from one-day 99% portfolio VaR? Note that N(-2.326)=0.01

Step by Step Solution

There are 3 Steps involved in it

Step: 1

Get Instant Access with AI-Powered 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

Students also viewed these Finance questions

Question

=+Show that the chain is irreducible and aperiodic. For which p's is the chain persistent? For which p's are there stationary probabilities?

Answered: 1 week ago

Question

★★★★★

Use Appendix B.5 to locate the value of t under the following conditions. a. The sample size is 15 and the level of confidence is 95%. b. The sample size is 24 and the level of confidence is 98%. c....

Answered: 1 week ago

Question

★★★★★

Michelle Nicholas is developing a transfer price for the housing section of an automatic garage door opener. The housing for the opener is made in Department H. It is then passed on to Department G,...

Answered: 1 week ago

Question

★★★★★

Figure Average Total Cost (S) ATOD ATCC ATCA ATCB M N Quantity of Automobiles per day Refer to the figure above. Diseconomies of scale will occur at which output levels? O a. output levels greater...

Answered: 1 week ago

Question

★★★★★

You have a conference room that contains a Teams Rooms on Windows device. You need to update the background image of the device with new company branding. What should you do? Select only one answer....

Answered: 1 week ago

Question

★★★★★

How many moving trucks, professional movers, and moving cost would it take to support supporting a Sensitive Compartmented Information Facility (SCIF) move to another building? Use the following...

Answered: 1 week ago

Question

★★★★★

What is the speedup of the basic pipeline (without bypassing) shown in the Introduction slides (Tsequential / Tpipelined) if 1/5 of all instructions contain a data dependence? Can you give a general...

Answered: 1 week ago

Question

★★★★★

Write a one hundred and fifty word response about which resource(s) you found to be most useful in terms of not only researching the different types of networks that exist, but which might be best...

Answered: 1 week ago

Question

★★★★★

Person is a named tuple with fields: first_name, last_name, and age. Variable person_data is a Person object created with two strings and one integer read from input as attributes. Output the...

Answered: 1 week ago

Previous Question Next Question