You have a portfolio with estimated monthly mean return of 0.8% and monthly standard deviation of...

 

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You have a portfolio with estimated monthly mean return of 0.8% and monthly standard deviation of 3.5%. - Assuming the portfolio returns follow a Normal distribution, what is the VaR and CVaR at a 99.9% confidence level? Assuming the portfolio returns follow a Student t distribution with 4 degrees of freedom, what is the VaR and CVaR at a 99.9% confidence level? Note: Consider a random variable R StudentTDistribution[u, a, v]. Generally, the parameter p is known as a location parameter and o a scale parameter. The mean of the Student tis u, but it standard deviation is not a, but StandardDeviation[R] =o Thus, the parameter a is related to but not identical to the standard deviation. Given the standard deviation as in this problem, you must solve for the Student t scale parameter o at the stated degrees of freedom to specify the distribution correctly. You have a portfolio with estimated monthly mean return of 0.8% and monthly standard deviation of 3.5%. - Assuming the portfolio returns follow a Normal distribution, what is the VaR and CVaR at a 99.9% confidence level? Assuming the portfolio returns follow a Student t distribution with 4 degrees of freedom, what is the VaR and CVaR at a 99.9% confidence level? Note: Consider a random variable R StudentTDistribution[u, a, v]. Generally, the parameter p is known as a location parameter and o a scale parameter. The mean of the Student tis u, but it standard deviation is not a, but StandardDeviation[R] =o Thus, the parameter a is related to but not identical to the standard deviation. Given the standard deviation as in this problem, you must solve for the Student t scale parameter o at the stated degrees of freedom to specify the distribution correctly.

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