Calculate the VAR for the following situations a Use the analytical method and determine the VAR at a probability of 0 05 for a portfolio in which the standard deviation of annual returns is $2 5 million Assume an expected return of $0 0 b Use the historical method and the following information for...

a VAR 16525 million 4125 million b We need to identify the worst 5 of the outcome ...

Calculate the VAR for the following situations: a. Use the analytical method and determine the VAR at

Question:

Calculate the VAR for the following situations:
a. Use the analytical method and determine the VAR at a probability of 0.05 for a in which the standard deviation of annual returns is $2.5 million. Assume an of $0.0.
b. Use the historical method and the following information for the last 120 days of returns to calculate an approximate VAR for a of $20 million using a probability of 0.05:

Expected Return
The expected return is the profit or loss an investor anticipates on an investment that has known or anticipated rates of return (RoR). It is calculated by multiplying potential outcomes by the chances of them occurring and then totaling these... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...