Question
Golden Investment has a portfolio which consists of 35% of stock T, and 60% of stock U and 5% cash. T has daily Standard Deviation
Golden Investment has a portfolio which consists of 35% of stock T, and 60% of stock U and 5% cash. T has daily Standard Deviation 1.5% while U has daily Standard Deviation 2.2%. The correlation of two stocks is 0.335. What is the 1 day 99% absolute VaR and 1 year 95% absolute VaR given 250 trading days a week?
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Financial Markets And Institutions
Authors: Jeff Madura
8th Edition
0324568215, 978-0324568219
