Question
Suppose you invest all your wealth on the S&P 500 index, and returns on S&P 500 are estimated to be normally distributed with 10% mean
Suppose you invest all your wealth on the S&P 500 index, and returns on S&P 500 are estimated to be normally distributed with 10% mean and 30% standard deviation over the next year.
What is the one-year VaR of your investment with 99% confidence interval?
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Economic Change In Asia Implications For Corporate Strategy And Social Responsibility
Authors: M Bruna Zolin, Bernadette Andreosso O'Callaghan, Jacques Jaussaud
1st Edition
1317286650, 9781317286653
