Assume that you constructed a portfolio 97 days back (97 observations of daily returns). Use the...
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Assume that you constructed a portfolio 97 days back (97 observations of daily returns). Use the following data to compute the 7% VaR and the 7% ES. The bottom 10 observations in our data series are as follows. These observations are already sorted from highest returns to lowest returns. Observation 123456TBOR 7 9 10 Portfolio Return (%) -2 -3 -4 -8 -9 -11 -16 -17 -22 -23 Assume that you constructed a portfolio 97 days back (97 observations of daily returns). Use the following data to compute the 7% VaR and the 7% ES. The bottom 10 observations in our data series are as follows. These observations are already sorted from highest returns to lowest returns. Observation 123456TBOR 7 9 10 Portfolio Return (%) -2 -3 -4 -8 -9 -11 -16 -17 -22 -23
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Related Book For
Macroeconomics Principles And Policy
ISBN: 9780324586213
11th Edition
Authors: William J. Baumol, Alan S. Blinder
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