Question
Suppose last year your portfolio had an average weekly return of 1% and weekly standard deviation of 1.5%. You want to understand your risk exposure.
Suppose last year your portfolio had an average weekly return of 1% and weekly standard deviation of 1.5%. You want to understand your risk exposure.
a) Suppose your investment in this portfolio is for $100,000. What is the most you can expect to lose in dollars over the next week with 95% confidence?
b) What is the maximum percentage return you can expect to lose at 99% confidence level?
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Matlab An Introduction with Applications
Authors: Amos Gilat
5th edition
1118629868, 978-1118801802, 1118801806, 978-1118629864
