Question
What is the loss level that would only be exceeded in the one worst day out of twenty for a $100 million worth equity portfolio
What is the loss level that would only be exceeded in the one worst day out of twenty for a $100 million worth equity portfolio that is equally-weighted across 50 different stocks if the standard deviation of daily returns for each individual stock is identical at 2% and the correlation of daily returns is estimated as 0.50 for each possible pair of stocks that can be formed using the stocks in this portfolio?
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International Finance Theory and Policy
Authors: Paul R. Krugman, Maurice Obstfeld, Marc J. Melitz
10th edition
978-0133425895, 133425894, 978-0133423631, 133423638, 978-0133423648
