Given below are data on investments Asset under management (AUM) in millions of dollars, expected rate of return, and standard deviation are given Investment AUM (M$) Expected Return Standard deviation Omega 500 10 7 Beta 800 8 5 Gamma 600 12 9 Based on VaR criteria at 5 level, rank the three investments (best rank 1) Using Roy's safety first criteria, rank the three investments Assume R L is 2 Assume an investor's utility function (U) is given as follows U R 2 50

Question: Given below are data on investments. Asset under management (AUM) in millions of dollars, expected rate of return, and standard deviation are given. Investment

Given below are data on investments. Asset under management (AUM) in millions of dollars, expected rate of return, and standard deviation are given.

Investment	AUM (M$)	Expected Return %	Standard deviation %
Omega	500	10	7
Beta	800	8	5
Gamma	600	12	9

Based on VaR criteria at 5% level, rank the three investments (best rank=1).

Using Roy's safety first criteria, rank the three investments. Assume R_L is 2%.

Assume an investor's utility function (U) is given as follows U = R 2 50

U = R 2 50

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To rank the three investments based on the Value at Risk VaR criteria at a 5 level we need to calculate the VaR for each investment and then rank them ... View full answer

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