Question
Bank of Alaska's stock portfolio has a market value of $20,000,000. The beta of the portfolio is 2. The mean and the standard deviation of
Bank of Alaska's stock portfolio has a market value of $20,000,000. The beta of the portfolio is 2. The mean and the standard deviation of the return of the portfolio are 0% and 1.5%, respectively. What is the Daily Earnings at Risk (DEAR) for this portfolio using a 99% confidence interval?
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The Changing Geography Of Banking And Finance
Authors: Pietro Alessandrini ,Michele Fratianni ,Alberto Zazzaro
1st Edition
1441947205, 978-1441947208
