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?
$ 1,326,308.43
$ 2,611,407.89
$ 1,773,169.96
$ 3,550,985.74
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Financial Management
Authors: P V V Satyanarayana
1st Edition
9350568012, 9789350568019
