Consider a portfolio comprising a $3 million investment in Outlook Publishing and a $5 million investment in
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Question:
Consider a portfolio comprising a $3 million investment in Outlook Publishing and a $5 million investment in Russell Computing. Assume that the standard deviations of the returns for shares in these companies are 0.4 and 0.25 per cent p.a. respectively. Assume also that the correlation between the returns on the shares in these companies is 0.7.
Assuming a 1 per cent chance of abnormally bad market conditions, calculate the value at risk of this portfolio.
State any assumptions that you make in your calculations.
Related Book For
Essentials of Business Analytics
ISBN: 978-1285187273
1st edition
Authors: Jeffrey Camm, James Cochran, Michael Fry, Jeffrey Ohlmann, David Anderson, Dennis Sweeney, Thomas Williams
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