A portfolio contains cash positions on two stocks: $1 million is invested in a stock with a beta of 1.2 and $2 is invested in a stock with a beta of 0.8 with respect to abroad market index. If the excess returns on the index are iid and normally distributed with expectation 5% and volatility 20% per annum, 

what is the 1% 10-day Equity VaR of the portfolio?

Answer rating: 100% (QA)

The 1 10day Equity VaR of the portfolio can be calculated using the following formul... View the full answer