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Suppose you have the 3 assets in your portfolio: a U.S. equity, a U.S. bond, and a euro position. The daily earnings at risk for
Suppose you have the 3 assets in your portfolio: a U.S. equity, a U.S. bond, and a euro position. The daily earnings at risk for each of these assets is the following: DEARequity 550, 498 DEARbond 690, 420 DEAR Foreign Euro = 970, 350 Based on the historical asset price fluctuations for each of these assets, the correlation between each of the assets are the following: Pequity,bond = 0.55 Pequity, euro :-0.40 Pbond, euro = 0.22 Calculate the Daily Earnings At Risk for your portfolio. O $534,342.13 0 $1,416,624.95 $285,521,516,584 O $2,006,826,252,220
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