1)Consider a portfolio which consists of two assets. The returns of the assets are normally distributed...
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1)Consider a portfolio which consists of two assets. The returns of the assets are normally distributed with N(0.1,.025) and N(0.2.0.09).0. The value of portfolio today is $120 million and the covariance matrix are given by S= [0.025 0.2 0.2 0.09 . i) Determine and 22 such that Vport [x] becomes minimum. a) Eport=? b) Vport ? Calculate VaR for 9R%, and c) 2 days d) 5 days d) 2 weeks time horizons 1)Consider a portfolio which consists of two assets. The returns of the assets are normally distributed with N(0.1,.025) and N(0.2.0.09).0. The value of portfolio today is $120 million and the covariance matrix are given by S= [0.025 0.2 0.2 0.09 . i) Determine and 22 such that Vport [x] becomes minimum. a) Eport=? b) Vport ? Calculate VaR for 9R%, and c) 2 days d) 5 days d) 2 weeks time horizons
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Answer rating: 100% (QA)
To determine the values of z and z that minimize the variance of the portfolio Vport we need to solve a quadratic programming problem with the given covariance matrix and portfolio weights Given Retur... View the full answer
Related Book For
Management Science The Art of Modeling with Spreadsheets
ISBN: 978-1118582695
4th edition
Authors: Stephen G. Powell, Kenneth R. Baker
Posted Date:
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