Suppose last year your portfolio had an average weekly return of 1% and weekly standard deviation of
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Question:
Suppose last year your portfolio had an average weekly return of 1% and weekly standard deviation of 1.5%. You want to understand your risk exposure.
a) Suppose your investment in this portfolio is for $100,000. What is the most you can expect to lose in dollars over the next week with 95% confidence?
b) What is the maximum percentage return you can expect to lose at 99% confidence level?
Related Book For
Essentials of Business Statistics Communicating With Numbers
ISBN: 978-0078020544
1st edition
Authors: Sanjiv Jaggia, Alison Kelly
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