You are the risk manager for a portfolio with a mean daily return of 0.40% and a

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You are the risk manager for a portfolio with a mean daily return of 0.40% and a daily standard deviation of 2.3%. Assume the returns are normally distributed (not a good assumption to make, in general). What is the 95% VaR?

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Quantitative Financial Risk Management

ISBN: 9781119522201,9781119522263

1st Edition

Authors: Michael B. Miller

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Question Posted: Mar 03, 2024 10:29 AM

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You are the risk manager for a portfolio with a mean daily return of 0.40% and a

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For a normal distribution 5 of the weight ...View the full answer

Quantitative Financial Risk Management

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