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<\/div><\/div><\/div> Question 24. VAR Calculation (12 marks) A fimn hes a portfolio composed of stock A and 8 with normally o stributed returns. Stock A has an annua expected retum of 15%% and annu I volat 20%% The firm has a position of $100 million In stock A. Stock B has an anni Sopecked return of 2946 and an annual wo bullty of 3096 as well. The firm hes a position of $80 million In stock B. The corre ation cooldent between the returns c there two s G5 0.3. Compute the 816 annual VAR for the portfo lo. Interpret the resulting VAR. (5 marks) 3. Is the 59% daly VAR for the portfolio? Assume 385 ofys per year. (2 marks)",
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"title": "Thomas Calculus Early Transcendentals",
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"authors": "Joel R Hass, Christopher E Heil, Maurice D Weir",
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"question_posted": "2024-06-09 09:07:08",
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"name": "Question 24. VAR Calculation (12 marks) A fimn hes a portfolio composed",
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