Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

As the Head of Investment for your company you are expected to compute the 10% value-at-risk for your company's portfolio containing two categories of assets.

As the Head of Investment for your company you are expected to compute the 10% value-at-risk for your company's portfolio containing two categories of assets. The first category includes stocks which are traded on the Ghana Stock Exchange (GSE) with an expected return of 12% and Standard Deviation(SD) of 10% per annum. The second category contains GoG Bonds with an expected return of 15% and Standard Deviation (SD) of 3% per annum. The annual correlation between the two categories of assets is 70% or .7. The total portfolio value is US$5 million. The total investment in the Ghana stock exchange is US$3 million and US$2 invested in bonds. The Z-value for a normal distribution curve for 90% confidential level is 1.282

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

Essentials Of Strategic Management

Authors: J. Hunger, Thomas Wheelen

5th Edition

0136006698, 9788120348615

More Books

Students also viewed these General Management questions

Question

In what ways does IT change OBs and procedures?

Answered: 1 week ago

Question

What is a deviation from the overall pattern of a distribution?

Answered: 1 week ago