You hold 450 shares of an airline company. The current share price is at 178, the...

 

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You hold 450 shares of an airline company. The current share price is at 178, the expected annual return is 33% with a volatility of 43%. (a) What is the 15 weeks 99% Value at Risk of your portfolio? $ (b) Derive the distribution of one share for a horizon of 15 weeks: In (ST). That is, what are x1 and x2 for In (ST) ~ N(x1, x2)? Give your answer in the form: [1, 2] and round ₁ to 2 decimal points and 2 to 3 decimal points. [x1, x₂] (c) What is the 15 week Tail Value at Risk of your portfolio for an individual stock loss level of 150.33? $ You hold 450 shares of an airline company. The current share price is at 178, the expected annual return is 33% with a volatility of 43%. (a) What is the 15 weeks 99% Value at Risk of your portfolio? $ (b) Derive the distribution of one share for a horizon of 15 weeks: In (ST). That is, what are x1 and x2 for In (ST) ~ N(x1, x2)? Give your answer in the form: [1, 2] and round ₁ to 2 decimal points and 2 to 3 decimal points. [x1, x₂] (c) What is the 15 week Tail Value at Risk of your portfolio for an individual stock loss level of 150.33? $

Answer rating: 100% (QA)

a To calculate the 15week 99 Value at Risk VaR of your portfolio we need to consider the volatility ... View the full answer