Obtain 5 years of recent data for any two stocks. Perform Monte Carlo simulations for a portfolio of two stocks with weights 0.3 and 0.7.
Obtain 5 years of recent data for any two stocks. Perform Monte Carlo simulations for a portfolio of two stocks with weights 0.3 and 0.7. Use Normal distribution with constant variance for the simulations. Find 99% VaR for $1,000,000 portfolio of two stocks.
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Authors: William O. Cleverley, James O. Cleverley, Paula H. Song
7th Edition
0763789291, 978-0763789299
