Using the historical simulation approach, estimate the CVaR (at the 99% confidence level) of an equally-weighted...

 

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Using the historical simulation approach, estimate the CVaR (at the 99% confidence level) of an equally-weighted portfolio that: (1) is valued at $200,000; and (2) involves only the stocks of Tesla and Facebook. Day 9 11 87 99 100 123 135 182 183 198 Tesla Return -12% -21% -20% -9% -22% -10% -15% -18% -7% -6% Facebook Return -4% -5% -8% -9% -10% -13% -7% -12% -3% -14% Notes: • The values in the table are sorted by the day (not by the return). • The day where the pth worst stock return of Tesla occurs possibly differs from the day where the pth worst stock return of Facebook occurs. • You can ignore the other 290 [= 300 - 10] daily returns on Tesla and Facebook. Using the historical simulation approach, estimate the CVaR (at the 99% confidence level) of an equally-weighted portfolio that: (1) is valued at $200,000; and (2) involves only the stocks of Tesla and Facebook. Day 9 11 87 99 100 123 135 182 183 198 Tesla Return -12% -21% -20% -9% -22% -10% -15% -18% -7% -6% Facebook Return -4% -5% -8% -9% -10% -13% -7% -12% -3% -14% Notes: • The values in the table are sorted by the day (not by the return). • The day where the pth worst stock return of Tesla occurs possibly differs from the day where the pth worst stock return of Facebook occurs. • You can ignore the other 290 [= 300 - 10] daily returns on Tesla and Facebook.