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Consider a well-diversified equity portfolio with a market value of $20 million, an annual expected return of 8.0%, and an annual standard deviation of returns
- Consider a well-diversified equity portfolio with a market value of $20 million, an annual expected return of 8.0%, and an annual standard deviation of returns of 25%. Calculate the two-day, 2% value-at-risk (assuming 250 trading days per year) VaR = (0.08/125 + NORMSINV(0.02)*0.25/sqrt(125))*20
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Foundations Of Financial Management
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen
17th Edition
126001391X, 978-1260013917
