You are given a portfolio of two assets whose returns are jointly normally distributed with the following
Question:
You are given a portfolio of two assets whose returns are jointly normally distributed with the following mean vector and covariance matrix:
(a) Compute the 95% VaR of the portfolio if $1 is invested in the first asset and $1 is invested in the second.
(b) Compute the risk-contribution of each asset to the VaR.
(c) Is the current portfolio weighting optimal? If not, suggest a better one.
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Step by Step Answer:
a We use the usual computations in Octave as before to develop the VaR b The risk c...View the full answer
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