Question
Export the monthly returns on the S&P 500 index from coding challenge 4 to a CSV file and compute monthly average returns and standard deviation.
Export the monthly returns on the S&P 500 index from coding challenge 4 to a CSV file and compute monthly average returns and standard deviation. Assume that index returns follow a normal distribution with a mean equal to the historical mean and a standard deviation equal to the historical standard deviation. Using @RISK, simulate a distribution of means with 10,000 observations and answer the following questions.
(a) What is a 95% confidence interval for the simulated distribution? What does it mean to you?
(b) What is the simulated distribution's monthly 1% Value at Risk (VaR)? What does it mean to you?
(c) What is the monthly 1% Conditional Value at Risk (CVaR) of the simulated distribution? What does it mean to you?
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Budgets And Financial Management In Higher Education
Authors: Margaret J. Barr, George S. McClellan
3rd Edition
1119287731, 9781119287735
