Question
Your portfolio which consists of 46% of stock J, and 54% of stock K. J has daily Standard Deviation 3% while K has daily Standard
Your portfolio which consists of 46% of stock J, and 54% of stock K. J has daily Standard Deviation 3% while K has daily Standard Deviation 4%. The correlation of two stocks is -0.6. What is the 1 day and 1 week 98% absolute VaR given 5 trading days per week?
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Calculus Graphical, Numerical, Algebraic
Authors: Ross L. Finney, Franklin D. Demana, Bert K. Waits, Daniel Kennedy
3rd Edition
0132014084, 978-0132014083
