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The VAR of a portfolio of stocks using a two-day horizon is Php 20,000,000. Assuming daily returns are independent, identically distributed and are normally distributed,
The VAR of a portfolio of stocks using a two-day horizon is Php 20,000,000. Assuming daily returns are independent, identically distributed and are normally distributed, the VAR using a 5-day horizon is?
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Answer So the VAR for a 5day horizon is Php 44720000 To c...
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ISE Essentials Of Investments
Authors: Zvi Bodie, Alex Kane, Alan Marcus
12th International Edition
1265450099, 9781265450090
