2): Value of portfolio is $120 million today. A Bank invests in amount in asset with...

 

Transcribed Image Text:

2): Value of portfolio is $120 million today. A Bank invests in amount in asset with return N(0:1; 0:1), 2 amount in asset with return N(0:12; 0:2), 3 amount in asset with return N(0:13; 0:3),Covariance matrix of the portfolio ; S = " 0.0 [0.1 0 0 0.2 0.0 0 0.3 0- i) Determine # T2and x3 such that Vport [x] becomes minimum. a) Eport?, b) Vport=? ,Calculate VaR for 9R%, and c) 4 days d) 8 days d) 5 weeks time horizons R=9 2): Value of portfolio is $120 million today. A Bank invests in amount in asset with return N(0:1; 0:1), 2 amount in asset with return N(0:12; 0:2), 3 amount in asset with return N(0:13; 0:3),Covariance matrix of the portfolio ; S = " 0.0 [0.1 0 0 0.2 0.0 0 0.3 0- i) Determine # T2and x3 such that Vport [x] becomes minimum. a) Eport?, b) Vport=? ,Calculate VaR for 9R%, and c) 4 days d) 8 days d) 5 weeks time horizons R=9

Answer rating: 100% (QA)

To determine the weights x1 x2 x3 that minimize the portfolio variance Vport for a given expected re... View the full answer