Question
For a $100,000,000 portfolio, the expected 1-day portfolio return and standard deviation are 0.0025 and 0.0123, respectively. Calculate the 1-day VaR at 1% significance? $
For a $100,000,000 portfolio, the expected 1-day portfolio return and standard deviation are 0.0025 and 0.0123, respectively. Calculate the 1-day VaR at 1% significance? $ 2,611,407.89 $ 3,550,985.74 $ 1,326,308.43 $ 1,773,169.96
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ISE International Financial Management
Authors: Cheol Eun, Bruce Resnick, Tuugi Chuluun
9th International Edition
1260575314, 9781260575316
