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Let's analyze the risk-properties of various portfolios. It will consist of varying positions in Amazon's stock. We assume that the weekly discrete stock return, Rt+1w
Let's analyze the risk-properties of various portfolios. It will consist of varying positions in Amazon's stock. We assume that the weekly discrete stock return, Rt+1w of Amazon is normally distributed. Here are the details: In the following you are asked to calculate the 99% VaR and 99% ES (expected shortfall) for a one-week horizon. Suppose you hold a portfolio of 5.000 Amazon stocks. What is the 99% 1-week VaR and 99% 1-week ES of this portfolio
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