Question: please answer this question Formula VaR calculation Our portfolio is currently worth $32000. We believe our portfolio follows GBM with drift =0.030 and volatility =42%.

please answer this question Formula VaR calculation Our portfolio is currently worth

please answer this question

Formula VaR calculation Our portfolio is currently worth $32000. We believe our portfolio follows GBM with drift =0.030 and volatility =42%. What is the 1 day, 1 week, and 1 year expected value of the portfolio value, standard deviation of the portfolio value and 98%VaR of the portfolio? Note - 1 week is 5 trading days out of 252 trading days per year

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!

Consolidation related simulation example: Millennium Capital Management, Inc., (MCM) acquired a 90% interest in NextGen, Inc. MCM's Financial Manager, Matthew Steven, has prepared a draft memo to the...

5. Formula VaR calculation Our portfolio is currently worth $20000. We believe our portfolio follows GBM with drift p = 0.050 and volatility o = 22%. What is the 1 day, 1 week, and 1 year expected...

I need help with Section 4 part A please look at the case study Assignment Tier 1 Financial Planning (Tier1FPPA_AS_v1A3) Page 2 of 92 Student identification (student to complete) Please complete the...

i need help from section 3 part A I have already posted this and you asked me to post under advanced option Assignment Tier 1 Financial Planning (Tier1FPPA_AS_v1A3) Page 2 of 92 Student...

Im having trouble with question 3 part A of the attached file. I know and understand her needs but im not sure if im filling out the table correctly ? Assignment Tier 1 Financial Planning...

I am looking to award the equivalant of 10 questions worth of points to whoever can solve this for me! Be thourough and follow the directs. and please show your work Prepare a retirement plan, using...

Dear Sir I Would like the answers of the documents i attach School of Business and Economics EXAM Course : Code : Date Time Location Risk Management EBC4056 : 3 June, 2010 : 9.00 - 12.00 : MECC...

I need your help with this: Can you please quote from the attached chapters / resource if possible? Corporations often use different costs of capital for different operating divisions. Using an...

Dear Sir I Would like the answers of the documents i attach Name: .................................................... Id. Nr. .......................................................... School of...

Hello, I have assessment.. Step 1 : Calculate the following ratios for the latest five years using the O-S Checklist Approach, an Excel template . For an overview of the approach, read our article,...

What factors should be considered in deciding whether the cost of capital for a foreign affiliateshould be higher, lower, or the same as the cost of capital for a comparable domestic operation?...

Sawyer Corporation's 2015 sales were $5 million. Its 2010 sales were $2.5 million. a. At what rate have sales been growing? b. Suppose someone made this statement: "Sales doubled in 5 years. This...

What is project complexity and what can be the factors and/or circumstances that could cause project complexity? (2) What is systemic thinking and how it might help address project complexity and its...

Determine the annual effective rate of a customer that does not take advantage of credit terms of 3 / 1 5 , n / 3 0 . Question 1 0 options: a ) 1 0 9 . 8 4 % b ) 6 9 . 8 4 % c ) 2 9 . 8 4 % d ) 9 . 8...

P-1) (100 Pts.) A chemical manufacturing company (CMC) has a contract for the procurement of the neccssaly chemicals from four suppliers. The chemicals purchased from Supplier A are priced at $20...

Centrality of work (MOW, 1987). Some African countries may be considered to be high in femininity and low on work centrality. This has implications for the results-focus of many Western management...

Uncertainty avoidance (Hofstede, 1991). African societies are considered high in uncertainty avoidance. Western (mainly American) views of change management which increase participation and...

concern about self-presentation and loss of face, and gaining approval of the collective;