Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Feb 16, 2023

Consider a portfolio consisting of 7500 shares of Microsoft (MSFT) and 50,000 shares of AT&T (T) ? The current price of MSFT and T are

Consider a portfolio consisting of 7500 shares of Microsoft (MSFT) and 50,000 shares of AT&T (T) ? The current price of MSFT and T are $220 and $19 respectively. The portfolio has an annual expected return of 10% and a volatility (annual) of 25%.

What is the monthly 99% VaR (in dollar amount) of this portfolio?

Step by Step Solution

★★★★★

3.39 Rating (146 Votes )

There are 3 Steps involved in it

Step: 1

To calculate the monthly 99 Value at Risk VaR of the portfolio we need to follow these steps Calcula... blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

Step: 3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Fundamentals of Financial Management

Authors: Eugene F. Brigham

Concise 9th Edition

1305635937, 1305635930, 978-1305635937

More Books

Students explore these related Accounting questions

Question

Consider a portfolio consisting of two risky assets with initial values of $100 and $450, that have a correlation coefficient of =0.5, whose rates of returns follow a bivariate normal distribution...

Answered: 3 weeks ago

Question

Consider a portfolio consisting of $10 million invested in the S&P 500 and $7.5 million invested in the S&P 500 has an expected return of 14 percent and a standard deviation of 16 percent. The...

Answered: 3 weeks ago

Question

Consider a portfolio consisting of: Option A, (long) position: +5 Option B, (long) position: +5 Another option, "Option C" , with the same underlying asset, is available and has the following...

Answered: 3 weeks ago

Question

The cost of a can of Coca Cola in 1960 was $0.10. The exponential function that models the cost of a Coca Cola by year is given below, where t is the number of years since 1960. C(t) = 0.10e0.0576t...

Answered: 3 weeks ago

Question

Delaware Exchange Company completed the following long-term investment transactions during 2012: At year-end, the fair value of the Detroit stock is $30,500. The fair value of the Brentwood stock is...

Answered: 3 weeks ago

Question

A poll is conducted by a television network to evaluate public opinion on the state of the economy in New Zealand using a countrywide representative sample. It is found that 35% of respondents...

Answered: 3 weeks ago

Question

Explain what it means to describe multiculturalism as the fourth force in clinical psychology.

Answered: 3 weeks ago

Question

Suppose Sony issues $100,000,000 of 5-year dollar bonds. Nomura will handle the bond issue for a fee of 1.875%. Sonys bonds will be priced at par if they carry a coupon of 8.5%. As the swap trader...

Answered: 3 weeks ago

Question

if we require a 10% real return and expect inflation to be 8%, what is the nominal rate?

Answered: 3 weeks ago

Question

A string of length 0.80 m is fixed at both ends. The diagram shows a standing wave formed on the string. P and Q are two particles on the string. 0.8 The variation with time t of the displacement of...

Answered: 3 weeks ago

Question

QUESTION 30 The labour force consists of people in the working-age population who are: O not retired, a stay-at-home parent. O those who are disabled and can't work. either employed or in school. O...

Answered: 3 weeks ago

Question

The standard overhead cost for a product manufactured by SCOMAN1 Corporation is given below: Variable overhead 2hrs@P10/hr Fixed overhead 2hrs@P5/hr Total Standard overhead rate PER UNIT P 20 10 P 30...

Answered: 3 weeks ago

Question

1/ "An organization can always be sued in the same way as a person." Is that statement true? Explain your answer. 3/ "'Certification' refers to a process or decision that always brings a lawsuit to...

Answered: 3 weeks ago

Question

Walk & Talk Inc. makes walkie talkies - handheld, portable, two-way radio transceivers. They are used in setting where mobile phone communication may be costly or impractical, including outdoor...

Answered: 3 weeks ago

Question

Question 17 Assume that a firm has EBIT of $15,584,650, a tax rate of 40.0 percent, total invested capital of $68,600,000, and a weighted average cost of capital (WACC) of 12.904 percent. Given this...

Answered: 3 weeks ago

Question

How do the following situations illustrate the features of psychological egoism and/or ethical egoism, or how do they illustrate the limitations and challenges to psychological egoism and ethical...

Answered: 3 weeks ago

Question

python 7. Celsius Temperature Table The formula for converting a temperature from Fahrenheit to Celsius is C=-(F 32) where F is the Fahrenheit temperature and C is the Celsius temperature. Write a...

Answered: 3 weeks ago

Question

In Exercises 105108, evaluate each expression without using a calculator. log(ln e)

Answered: 3 weeks ago

Question

Beale Manufacturing Company has a beta of 1.1, and Foley Industries has a beta of 0.30. The required return on an index fund that holds the entire stock market is 11%. The risk-free rate of interest...

Answered: 3 weeks ago

Question

Sawyer Corporations 2015 sales were $5 million. Its 2010 sales were $2.5 million. a. At what rate have sales been growing? b. Suppose someone made this statement: Sales doubled in 5 years. This...

Answered: 3 weeks ago

Question

Maxwell Mining Companys ore reserves are being depleted, so its sales are falling. Also, because its pit is getting deeper each year, its costs are rising. As a result, the companys earnings and...

Answered: 3 weeks ago

Question

An annuity consists of quarterly payments of $950 for 8 years and 9 months. Discounting at 8% compounded quarterly, determine the present value of the annuity if the payments are made: a. At the end...

Answered: 3 weeks ago

Question

Rino has just purchased a five-year term life insurance policy. For his premium payments, Rino can choose either beginning-of-month payments of $38.50 or beginning-of-year payments of $455. In...

Answered: 3 weeks ago

Question

Other factors being equal, is the PV of an annuity due larger if the given nominal discount rate is compounded monthly instead of annually? Explain briefly.

Answered: 3 weeks ago

Previous Question Next Question