Assume portfolio returns are as follows: Yesterday's return: 0.8, day before yesterday's return: -0.9. The conditional...
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Assume portfolio returns are as follows: Yesterday's return: 0.8, day before yesterday's return: -0.9. The conditional variance of the portfolio can be derived with the following formula: 1-2 T Σ i=1 i-1 t-1 Using the value for the decay factor as given in RiskMetrics for daily variance predictions, the conditional variance will be: Assume portfolio returns are as follows: Yesterday's return: 0.8, day before yesterday's return: -0.9. The conditional variance of the portfolio can be derived with the following formula: 1-2 T Σ i=1 i-1 t-1 Using the value for the decay factor as given in RiskMetrics for daily variance predictions, the conditional variance will be: Assume portfolio returns are as follows: Yesterday's return: 0.8, day before yesterday's return: -0.9. The conditional variance of the portfolio can be derived with the following formula: 1-2 T Σ i=1 i-1 t-1 Using the value for the decay factor as given in RiskMetrics for daily variance predictions, the conditional variance will be: Assume portfolio returns are as follows: Yesterday's return: 0.8, day before yesterday's return: -0.9. The conditional variance of the portfolio can be derived with the following formula: 1-2 T Σ i=1 i-1 t-1 Using the value for the decay factor as given in RiskMetrics for daily variance predictions, the conditional variance will be:
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Related Book For
Probability and Stochastic Processes A Friendly Introduction for Electrical and Computer Engineers
ISBN: 978-1118324561
3rd edition
Authors: Roy D. Yates, David J. Goodman
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