Question
Question 1 A portfolio contains two assets, A and B. The expected returns are 9% and 12%, respectively, and their standard deviations are 11% and
Question 1
A portfolio contains two assets, A and B. The expected returns are 9% and 12%, respectively, and their standard deviations are 11% and 18%, respectively. The correlation between the returns on A and B is estimated at 0.25.
1)Calculate the 5% (analytical) VAR of a $10,000,000 portfolio invested 40% in A and 60% in B.
2)Interpretation of the result
3)Write drawbacks of sharp ratio.
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
