A fixed income portfolio with a current market value of $1.6 billion has an annual standard deviation
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Question:
A fixed income portfolio with a current market value of $1.6 billion has an annual standard deviation of 18.1% and an expected return of 9.5%. The relevant z score at 5% is 1.645. Calculate4 the annual value at risk.
Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
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