Question
Assume a portfolio with a daily expected return of 3% percent and a daily standard deviation of 2%. The current value of the portfolio is
Assume a portfolio with a daily expected return of 3% percent and a daily standard deviation of 2%. The current value of the portfolio is $50000. The 10-day VaR at 95% confidence level is (reported as a positive value):
A.474.34
B.180.56
C.122.67
D.132.45
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Survey Of Economics, Principles, Applications, And Tools
Authors: Arthur O'Sullivan, Steven M. Sheffrin, Stephen J. Perez
5th Edition
0132556073, 978-0132556071
