Compute the portfolio DEAR for the following bank portfolio Assets DEAR ( $ ) Correlations Stocks Bonds

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Compute the portfolio DEAR for the following bank portfolio

Assets DEAR

(

)

Correlations

Stocks Bonds Loans Commodities

Stocks $

100, 000 1 - 0.25 0.15 - 0.35

Bonds $

250, 000 1 0.1 - 0.15

Loans $

300, 000 1 - 0.13

Commodities $

50, 000 1

What is the bank's portfolio DEAR?

What is the difference in portfolio DEAR of all assets were pefectly correlated?

Posted Date: May 16, 2024 08:01 PM

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Compute the portfolio DEAR for the following bank portfolio Assets DEAR ( $ ) Correlations Stocks Bonds

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