Question: The expected annual return for a $10,000,000 portfolio is 9% and the historical standard deviation is 15%. Calculate VAR at the 1% and 5% probability

The expected annual return for a $10,000,000 portfolio is 9% and the historical standard deviation is 15%. Calculate VAR at the 1% and 5% probability and explain what it means

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To calculate the Value at Risk VAR at different probabilities we use the formula VAR mu zsigma Where ... View full answer

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