Question
You are a hedge fund manager with a portfolio of $500 million. The historical return distribution of yourportfolio is assumed to be Normal with monthly
You are a hedge fund manager with a portfolio of $500 million. The historical return distribution of yourportfolio is assumed to be Normal with monthly expected return equal to 10% and variance
- You prepare some risk measures to present to your clients.
- Estimate V aR10%, V aR25% and V aR50% in dollars.
- Compare the VaR results you got in (1). Which is largest, which is smallest and why?
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Beyond Bitcoin Economics Of Digital Currencies And Blockchain Technologies
Authors: Hanna Halaburda, Miklos Sarvary, Guillaume Haeringer
2nd Edition
3030889300,3030889319
