c. Suppose the value of a portfolio over a 30-day period is log-normally distributed so that...

 

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c. Suppose the value of a portfolio over a 30-day period is log-normally distributed so that the 30-day log-return has mean 1.274% and standard deviation 8.601%. For a standard normal random variable with zero mean and unit variance, the probability that z is less than or equal to -1.645 is approximately 5%. What is the 30-day 5% VaR of the portfolio, expressed as log-returns? What is the 60-day 5% VaR? (9 marks) c. Suppose the value of a portfolio over a 30-day period is log-normally distributed so that the 30-day log-return has mean 1.274% and standard deviation 8.601%. For a standard normal random variable with zero mean and unit variance, the probability that z is less than or equal to -1.645 is approximately 5%. What is the 30-day 5% VaR of the portfolio, expressed as log-returns? What is the 60-day 5% VaR? (9 marks)

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Calculating the 30day and 60day 5 VaR for the portfolio Given Portfolio logreturn mean 1274 Portfoli... View the full answer