You are a hedge fund manager with a portfolio of $500 million. The historical return distribution...

 

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You are a hedge fund manager with a portfolio of $500 million. The historical return distribution of your portfolio is assumed to be Normal with monthly expected return equal to 10% and variance 0.04. You prepare some risk measures to present to your clients. 1. Estimate VaR10%, VaR25%, VaR50% and VaR75% in dollars. 2. Compare the VaR results you got in (1). Which is largest, which is smallest and why? You are a hedge fund manager with a portfolio of $500 million. The historical return distribution of your portfolio is assumed to be Normal with monthly expected return equal to 10% and variance 0.04. You prepare some risk measures to present to your clients. 1. Estimate VaR10%, VaR25%, VaR50% and VaR75% in dollars. 2. Compare the VaR results you got in (1). Which is largest, which is smallest and why?

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To estimate the VaR at different confidence levels we need to first calculate the standard deviation ... View the full answer