Question
(Using Excel) Suppose a financial manager has a portfolio that consists of a single asset. The return of the asset is normally distributed with mean
(Using Excel) Suppose a financial manager has a portfolio that consists of a single asset. The return of the asset is normally distributed with mean return 25% and standard deviation 20%. The value of the portfolio today is $90 million. Using the Excel, calculate: The distribution of the end-of-year portfolio value The probability of a loss of more than $15 million by year-end The maximum loss (value at risk) at the end of the year, with 1% probability using the Excel Solver. b) Suppose that a portfolio whose initial value is $90 million and whose annual returns are lognormally distributed with parameters = 20% and = 15%. Calculate its annual Value at risk at 1%.
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