Question
Wind Asset Management's portfolio consists of 40% of Google stock, 50% of Apple stock and 10% cash. Apple has an expected weekly return 1%
Wind Asset Management's portfolio consists of 40% of Google stock, 50% of Apple stock and 10% cash. Apple has an expected weekly return 1% and daily S.D. 1% while Google has an expected weekly return 2% and S.D. 2%. Cash has no return. The correlation of two stocks is 0.52. The correlation of cash to the stocks is 0. Calculate the 1 day 95% relative VaR and 1 month 95% absolute VaR given 20 trading days per month. (8 marks)
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Fundamentals of Investments, Valuation and Management
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