Question
Suppose that you have an investment of $5 Lakh in ABC Companys stock. The daily volatility in stocks return is 2.328%. 1.1 Estimate monthlyVaRof the
Suppose that you have an investment of $5 Lakh in ABC Company’s stock. The daily volatility in stock’s return is 2.328%.
1.1 Estimate monthly VaR of the portfolio at 99% confidence level.
1.2 Further, you have added one more stock of XYS Company to the portfolio by investing 50000 in addition.
The daily volatility in XYS’s return is 1.567% and the correlation between the returns of two stocks is -0.40. Estimate 15-day VaR of the portfolio at 99% confidence level.
1.3 Estimate the diversification benefit in the VaR estimation of the portfolio?
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The question is complete now lets proceed with the answer 11 To estimate monthly VaR of the portfolio at 99 confidence level we should first turn dail...
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Financial management theory and practice
Authors: Eugene F. Brigham and Michael C. Ehrhardt
13th edition
1439078106, 111197375X, 9781439078105, 9781111973759, 978-1439078099
