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How to solve the question without Excel? 5. (8 points) Below are 40 monthly returns (in percentage) of an equity portfolio worth of $1,500,000, ranked
How to solve the question without Excel?
5. (8 points) Below are 40 monthly returns (in percentage) of an equity portfolio worth of $1,500,000, ranked from the highest to the lowest. What is the 5% historical monthly VaR of the portfolio? How about the 1% historical monthly VaR (can you obtain a precise answer)? 6.15 2.38 1.60 0.99 -0.67 -1.52 5.88 2.32 1.32 0.98 -0.75 -1.73 3.66 2.06 1.19 1.96 -0.85 -2.02 3.43 2.05 1.15 1.90 -1.11 -2.25 3.37 1.84 1.13 0.35 -1.18 -3.36 2.51 1.65 105 -0.23 -1.31 2.39 1.61 1.00 -0.55 -1.37Step by Step Solution
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