Question
Assume that the portfolio daily return follows a normal distribution with a mean equal to 12%, and a standard deviation equal to 15%. a) Calculate
Assume that the portfolio daily return follows a normal distribution with a mean equal to 12%, and a standard deviation equal to 15%.
a) Calculate the daily VaR at 5%.
b) Explain why VaR is a better risk measure than standard deviation.
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Financial Accounting An Introduction
Authors: Mr Barry Elliott, Mr Augustine Benedict
2nd Edition
0273737651, 9780273737650
