For $ 100,000 of stocks in a well diversified portfolio with P= 0.85. Over the past year,

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For $ 100,000 of stocks in a well diversified portfolio with P= 0.85. Over the past year, the "P" of the daily return on this portfolio was 150 points.

For this equity well diversified portfolio, to reduce its Daily VaR by 30%, then the value of the "p" should be:

Hint : P= PX Mand Mis a constant

115 bp

125 bp

135 bp

150 bp

155 bp

Posted Date: May 20, 2024 01:06 AM

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For $ 100,000 of stocks in a well diversified portfolio with P= 0.85. Over the past year,

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