You have invested $150,000 in stock shares of Doom and $200,000 in stock shares of Mishap. Assume
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You have invested $150,000 in stock shares of Doom and $200,000 in stock shares of Mishap. Assume that daily returns follow a multivariate normal distribution; daily volatilities for the two stock shares are 2% and 3%, respectively, and correlation is 0.8. Find the one-day VaR at 99% confidence level.
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Quantitative Methods An Introduction For Business Management
ISBN: 1579
1st Edition
Authors: Paolo Brandimarte
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