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How do you calculate the VAR[Rp]? Whats a good strategy/technique to solve this question? Topic 5 Markowitz mean-variance analysis, matrices Question 5-A (10 marks, 2015
How do you calculate the VAR[Rp]? Whats a good strategy/technique to solve this question?
Topic 5 Markowitz mean-variance analysis, matrices Question 5-A (10 marks, 2015 S1 Midterm (4) You have available the forward looking covariances and expected returns of three investments: A, B and C (all in annual terms). These are set out below: Expected Returns 7% B 5% 5% Expected Return Covariances 37% B 16% 20% 25 16% 22% 30% The current portfolio is allocated to these assets in the following proportions: Portfolio Allocation 20% B 35% 45% Portfolio Allocation a) Calculate the portfolio standard deviation. (8 Marks] VAR[Rp] = 0.220550 and SD[Rp] = 0.469628 (or 46.9628%)
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