Question
Problem: Consider a position consisting of a $100,000 investment in asset X and a $100,000 investment in asset Y. Assume that the daily volatilities of
Problem:
Consider a position consisting of a $100,000 investment in asset X and a $100,000 investment in asset Y. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3.
Question:
a)What is the 5-day 99% VaR for the portfolio?
b)What is the 5-day 99% VaR for a $200,000 investment in asset X?
c)Is your answer to a) different from your answer to b), why?
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Financial Management Core Concepts
Authors: Raymond Brooks
4th Edition
134730417, 134730410, 978-0134730417
