Question
Fund Total Value (million $) Weekly rate of return % Standard deviation of weekly returns % Satori 500 1.50 2.40 Dakota 500 1.20 2.00 a)
Fund
Total Value (million $)
Weekly rate of return %
Standard deviation of weekly returns %
Satori
500
1.50
2.40
Dakota
500
1.20
2.00
Fund | Total Value (million $) | Weekly rate of return % | Standard deviation of weekly returns % |
Satori | 500 | 1.50 | 2.40 |
Dakota | 500 | 1.20 | 2.00 |
a) Use the Value at Risk (VaR) technique and determine which fund is better.
b) Use Roy's safety-first criteria instead. Assume RL of 0.5%. Which fund is better?
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Business Statistics A Decision Making Approach
Authors: David F. Groebner, Patrick W. Shannon, Phillip C. Fry
9th Edition
013302184X, 978-0133021844
