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Question 3 You are given the following information of two assets: Asset Value of investment A RM30 million B RM20 million Expected return 15%
Question 3 You are given the following information of two assets: Asset Value of investment A RM30 million B RM20 million Expected return 15% 12% Standard deviation 10% 8% Correlation coefficient between returns on asset A and B is 0.3. Assume 252-days trading a year. (a) You have been asked to compute: (i) portfolio expected return (6 marks) (ii) portfolio standard deviation (6 marks) (iii) one-day and ten-day value at Risk (VaR) (10 marks) (b) Interpret the result of part (a) above. (3 marks)
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