A $300000 portfolio containing two stocks has an expected return of 0.03 per month and variance of
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A $300000 portfolio containing two stocks has an expected return of 0.03 per month and variance of 0.04. Assume that the monthly returns follow a normal distribution. calculate the 95% confidence level analytical absolute VAR of this portfolio during next quarter. calculate the 99% confidence level analytical relative VAR of this portfolio during next month.
Related Book For
Essentials of Business Statistics Communicating With Numbers
ISBN: 978-0078020544
1st edition
Authors: Sanjiv Jaggia, Alison Kelly
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