Question
Company Expected return % Standard deviation (%) Beta Investment ($) ABC 21 34 1.75 7,500 XYZ 12 20 1.05 20,000 MNO 9 12 .085 12,500
| Company | Expected return % | Standard deviation (%) | Beta | Investment ($) |
| ABC | 21 | 34 | 1.75 | 7,500 |
| XYZ | 12 | 20 | 1.05 | 20,000
|
| MNO | 9 | 12 | .085 | 12,500 |
| Correlation coefficients | ABC | XYZ | MNO |
| ABC | 1.0 | 0.5 | 0.2 |
| XYZ |
| 1.0 | 0.8 |
| MNO |
|
| 1.0 |
Using the information from the preceding tables, calculate the dollar-based deviation of the portfolio and the portfolios value-at-risk at the 95% confidence level.
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Options Futures And Other Derivatives
Authors: John C. Hull
8th Edition
0132164949, 9780132164948
