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The current value of a stock portfolio is $10,000. Suppose a financial analyst summarized the following information about one particular investment in the following table.
The current value of a stock portfolio is $10,000. Suppose a financial analyst summarized the following information about one particular investment in the following table. Fill in the blanks and calculate the portfolio expected holding-period return, the standard deviation of returns, and the 5% VAR.
Scenarios | Probability | End-of-period Portfolio Value | Return |
Good | .2 | 28,000 | |
Normal | .5 | 11,000 | |
Bad | .3 | 7,000 |
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