Assume portfolio returns are as follows: Yesterday's return: 0.8, day before yesterday's return: -0.9. The conditional...

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Assume portfolio returns are as follows: Yesterday's return: 0.8, day before yesterday's return: -0.9. The conditional variance of the portfolio can be derived with the following formula: 1-2 T Σ i=1 i-1 t-1 Using the value for the decay factor as given in RiskMetrics for daily variance predictions, the conditional variance will be: Assume portfolio returns are as follows: Yesterday's return: 0.8, day before yesterday's return: -0.9. The conditional variance of the portfolio can be derived with the following formula: 1-2 T Σ i=1 i-1 t-1 Using the value for the decay factor as given in RiskMetrics for daily variance predictions, the conditional variance will be: Assume portfolio returns are as follows: Yesterday's return: 0.8, day before yesterday's return: -0.9. The conditional variance of the portfolio can be derived with the following formula: 1-2 T Σ i=1 i-1 t-1 Using the value for the decay factor as given in RiskMetrics for daily variance predictions, the conditional variance will be: Assume portfolio returns are as follows: Yesterday's return: 0.8, day before yesterday's return: -0.9. The conditional variance of the portfolio can be derived with the following formula: 1-2 T Σ i=1 i-1 t-1 Using the value for the decay factor as given in RiskMetrics for daily variance predictions, the conditional variance will be:

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Answer To calculate the conditional variance of the portfolio using the RiskMetrics model well use t... View the full answer