Consider two asset classes: Stocks and Bonds. You estimate the following parameters for these two asset class
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Consider two asset classes: Stocks and Bonds. You estimate the following parameters for these two asset class funds.
correlation matrix bn Stocks and Bonds
Er sdr Stocks Bonds
Stocks
Bonds
Consider a $ portfolio consisting of $ in Stocks and $ in Bonds. So the portfolio is in Stocks and in Bonds. Given the expected return on the portfolio is and the standard deviation of the portfolio return is what is the value at risk note: the confidence interval lower limit on the portfolio value is the value of the portfolio at this level of lossuse decimals without $ so a loss of $ is
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The correct answer is: expain
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