The VAR of a portfolio of stocks using a two-day horizon is Php 20,000,000. Assuming daily returns

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The VAR of a portfolio of stocks using a two-day horizon is Php 20,000,000. Assuming daily returns are independent, identically distributed and are normally distributed, the VAR using a 5-day horizon is?

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ISE Essentials Of Investments

ISBN: 9781265450090

12th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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Posted Date: Apr 22, 2024 05:37 AM

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The VAR of a portfolio of stocks using a two-day horizon is Php 20,000,000. Assuming daily returns

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Answer So the VAR for a 5day horizon is Php 44720000 To c... View the full answer

ISE Essentials Of Investments

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