Question: how to do this qn??? Consider a portfolio comprising a $3 million investment in Outlook Publishing and a $5 million investment in Russell Computing. Assume

how to do this qn??? Consider a portfolio comprising a $3

how to do this qn???

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 per annum 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

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

PROBLEMS Value at risk (LO 11 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...

1.Value at risk 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...

Consider a portfolio comprising a $3 million investment in Outlook and a $5 million in Russel Computing. Assume the standard deviations of the return on shares are .4 and .25 per cent per annum...

The attachment is Financial markets coursework, including 11 questions Question 1 The policy-making committee of Bank ABC recently used reports from its securities analysts to develop the following...

Kagiso Dimba, aged 40, is the operations director at his familys company, Dimba Holdings (Pty) Ltd. (DH). Kagiso earns a salary ZAR 1.2 million per year before taxes. Amahle Dimba, Kagisos spouse,...

Consider a portfolio consisting of $10 million in Microsoft and $5 million in AT&T. Assume 1) the returns of AT&T and Microsoft are bivariate normal and that the correlation between the returns is...

Consider a portfolio consisting of $10 million in Mircosoft and $5 million in AT&T. Assume 1) the returns of AT&T and Microsoft are bivariate normal and the correlation between the returns is +1.0,...

Discuss the complications role that the Internet plays as a market channel in today's business environment.

a) Find the value of k if the intersection of the following volumes gives a surface in R* = -k*y + () z -t+ b, 16y = -x + 4z - k?t + b2 b) Determine the value of k if the intersection is a volume c)...

What persistent colonial or prejudicial stereotypes of Indigenous women perpetuate the social invisibility of Indigenous women to the public, police, and judicial system and therefore make them more...

:s old pu s lns ' po no s x s uo ( n x o ) ld s pu q o pu ' ( uo nq s p o ) ld s ' ( uo nq s p o ) ld s o o s ol uo nq s p o ld s o z s q plno s uo nq s p o ld s ' o oW uo nq s p o z s TA 0 2 u pu u...