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Please use excel and show formulas. Thank you very much! Daily returns for a $5 million portfolio are normally distributed with a mean of 0.05%
Please use excel and show formulas. Thank you very much!
- Daily returns for a $5 million portfolio are normally distributed with a mean of 0.05% and a standard deviation of 1%. The portfolio has a first-order autocorrelation coefficient of 0.15.
- Compute the 95% confidence level 1-day, 10-day, and 50-day VaR of the portfolio neglecting the autocorrelation.
- Compute the 95% confidence level 1-day, 10-day, and 50-day ES (CVaR) of the portfolio taking the autocorrelation into account.
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Real Estate Finance and Investments
Authors: William Brueggeman, Jeffrey Fisher
14th edition
73377333, 73377339, 978-0073377339
