Suppose that you have an investment of $5 Lakh in ABC Companys stock. The daily volatility in
Fantastic news! We've Found the answer you've been seeking!
Question:
Suppose that you have an investment of $5 Lakh in ABC Company’s stock. The daily volatility in stock’s return is 2.328%.
1.1 Estimate monthly VaR of the portfolio at 99% confidence level.
1.2 Further, you have added one more stock of XYS Company to the portfolio by investing 50000 in addition.
The daily volatility in XYS’s return is 1.567% and the correlation between the returns of two stocks is -0.40. Estimate 15-day VaR of the portfolio at 99% confidence level.
1.3 Estimate the diversification benefit in the VaR estimation of the portfolio?
Related Book For
Financial management theory and practice
ISBN: 978-1439078099
13th edition
Authors: Eugene F. Brigham and Michael C. Ehrhardt
Posted Date: