Solution-Coefficient of correlation between returns

Coefficient of correlation between returns

Reference no: EM13961076

Consider a position consisting of a $300,000 investment in gold and a $500,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.8% and 1.2%, respectively, and that the coefficient of correlation between their returns is 0.6. What is the 10-day 97.5% value at risk for the portfolio? By how much does diversification reduce the VaR?

Reference no: EM13961076

Questions Cloud

Describe data cleaning and data dredging : Describe data cleaning and data dredging and what is the difference between primary and secondary data collection?

Write the surface area s as an integral : Write the surface area S as an integral. Let R be the region bounded by y = 1/x, the x - axis, x = 1, and x = b, where b > 1. Let D be the solid formed when R is revolved about the x-axis.

Determine least squares regression equation : City government has collected the following data on annual sales tax collections and new car registrations over the past 6 years: Determine the least squares regression equation.

What might be your best options : If you had a very limited budget but were committed to collecting and using some type of qualitative data to get at the perceptions of program participants, what might be your best options? Explain

Coefficient of correlation between returns : Consider a position consisting of a $300,000 investment in gold and a $500,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.8% and 1.2%, respectively, and that the coefficient of correlation between their ret..

Find the equivalent resistance of the circuit. : Does the current through the battery increase, decrease, or remain the same? Justify your answer.

How stressors affect our behavior and health : To what extent do our "programmed" physiological responses to stressors affect our behavior and health? Explain. Do you believe these responses are adaptable

Different option positions and adjusting position : A common complaint of risk managers is that the model building approach (either linear or quadratic) does not work well when delta is close to zero. Test what happens when delta is close to zero in using Sample Application E in the DerivaGem Appli..

How objective versus subjective perspectives influence : Explain how objective versus subjective perspectives influence the decision-making process. What role do you think this variable has played in all the negotiations conducted and decisions made by Iraq and the United Nations?

User Account

All Pages

Coefficient of correlation between returns

Reference no: EM13961076

Reference no: EM13961076

Questions Cloud

Reviews

Write a Review

Finance Basics Questions & Answers

Financial reporting and analysis

A report on financial accounting

Describe the types of financial ratios

Differences between sole proprietorship and corporation

Prepare a cash budget statement

What are the implied interest rates

State pricing theory and no-arbitrage pricing theory

Small business administration

Effect of financial leverage

Evaluate the basis for the payment to the lender

Importance of opps, ipps, mpfs and dmepos

Time value of money

Assured A++ Grade

Academics

Major Subjects

Majors

Get In Touch

TERMS & POLICIES

HELP & SUPPORT