Question
What is the 5% VaR over a 2-month horizon of $5 million invested in a fund whose annual returns in excess of the risk-free rate
What is the 5% VaR over a 2-month horizon of $5 million invested in a fund whose annual returns in excess of the risk-free rate are assumed to be normally distributed with (annual) mean 7% and volatility 20%?
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Step: 1
To compute the 5 VaR worth in danger over a 2month skyline for a 5 million interest in an asset with ...
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Spreadsheet Modeling And Decision Analysis A Practical Introduction To Business Analytics
Authors: Cliff Ragsdale
7th Edition
1285418689, 978-1285969701, 1285969707, 978-1285418681
