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Assume that 5 0 0 days ago ( last 5 0 0 days on CRSP ) , you invested $ 1 million in a portfolio
Assume that days ago last days on CRSP you invested $ million in a portfolio that ismade up of stocks of your choosing. The stocks are equally weighted in the portfolio.Present the following information your Portfolio note that you need to track the total return onthe portfolio throughout this period : Summary of the portfolios expected return, standard deviation, skewness, kurtosis, SharpeRatio, semivariance and Sortino Ratio assume your target to be the year Rf rate The and daily VaR of the portfolio assuming the portfolio returns follow a normaldistribution The day and VaR based on the results of the earlier requirement and assuming:a No st order autocorrelation in the returns.bst order autocorrelation exists and is equal to
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