3. (20 marks) You are holding a portfolio of two stocks, with information as follows: One-Day...
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3. (20 marks) You are holding a portfolio of two stocks, with information as follows: One-Day No. of Shares Bid Price Ask Price Expected Return 20,000 50,000 Stock KBM CPL $49.9 $19.98 $50.1 $20.02 0.24% 0.15% Volatility 3.0% 2.2% (a) If the correlation of returns between the two stocks is 0.3, what is the one-day liquidity-adjusted value-at-risk (VaR) of your portfolio at 99% confidence level? (10 marks) 3. (20 marks) You are holding a portfolio of two stocks, with information as follows: One-Day No. of Shares Bid Price Ask Price Expected Return 20,000 50,000 Stock KBM CPL $49.9 $19.98 $50.1 $20.02 0.24% 0.15% Volatility 3.0% 2.2% (a) If the correlation of returns between the two stocks is 0.3, what is the one-day liquidity-adjusted value-at-risk (VaR) of your portfolio at 99% confidence level? (10 marks)
Expert Answer:
Answer rating: 100% (QA)
To calculate the oneday Value at Risk VaR of the portfolio at a 99 confidence level well follow these steps 1 Calculate the portfolio value 2 Calculat... View the full answer
Related Book For
Principles of Corporate Finance
ISBN: 978-0077404895
10th Edition
Authors: Richard A. Brealey, Stewart C. Myers, Franklin Allen
Posted Date:
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