A $100,000 portfolio's returns are expected to be normally distributed, with an annual geometric return of 10% and an annualized standard deviation of 20%. Assuming +/-1.65describes 90% of the distribution what is the portfolio's VaR(5%) over a two-year window?

Answer rating: 100% (QA)

To calculate the portfolios Value at Risk VaR at a 5 confidence level over a twoyear window we need ... View the full answer