A portfolio of $2 million has a daily expected return of 0% and a daily standard deviation

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A portfolio of $2 million has a daily expected return of 0% and a daily standard deviation of 1.33%. What is the annual standard deviation of this portfolio? (Assume 260 trading days in a year.)

Using the same information from above, what is the one-day VAR at 99 percent confidence level by using the analytical method?

Related Book For answer-question

Information Technology for Managers

ISBN: 978-1305389830

2nd edition

Authors: George Reynolds

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Posted Date: Mar 10, 2022 06:37 AM

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A portfolio of $2 million has a daily expected return of 0% and a daily standard deviation

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ANSWER The following formula must be used to get the portfolios annual ... View the full answer

Information Technology for Managers

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