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Please help me calculate the portfolio's vaR, please show the process, the answer is 0.1612, and I want to know why Bond B risk-free deposit
Please help me calculate the portfolio's vaR, please show the process, the answer is 0.1612, and I want to know why
Bond B risk-free deposit Bond A Expected return anual) 400% 100% 2,00% 0.00% Standard deviation cannual) 300% 2.00% -16 - invested money 18 Capital is I dollar Correlation coefficient between Bond A and Bond B is aqc=999, calculate the portfolio's monthly VaR. CUTE 3 029) Bond B risk-free deposit Bond A Expected return anual) 400% 100% 2,00% 0.00% Standard deviation cannual) 300% 2.00% -16 - invested money 18 Capital is I dollar Correlation coefficient between Bond A and Bond B is aqc=999, calculate the portfolio's monthly VaR. CUTE 3 029)
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Inflation Growth And International Finance
Authors: Alec Cairncross
1st Edition
113865308X, 978-1138653085
