Question
Stock has a price of $50 and pays no dividend. The historical standard deviation of the stock is 25% and the expected return on the
Stock has a price of $50 and pays no dividend. The historical standard deviation of the stock is 25% and the expected return on the stock is 12%. At the 99% confidence level, what is the VaR (value at risk) over the next 6 days?
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Small Business Management Launching and Growing New Ventures
Authors: Justin Longenecker, Leo Donlevy, Terri Champion, William Petty, Leslie Palich, Frank Hoy
6th Canadian edition
176532218, 978-0176532215
