Consider a portfolio consisting of $10 million invested in the S&P 500, and $7.5 million in- vested in U.S. Treasury bonds. The S&P 500 has an expected return of 14 percent and a standard deviation of 16 percent. The Treasury bonds have an expected return of 9 percent and a standard deviation of 8 percent. The correlation between the S&P 500 and the bonds is 0.35. All figures are stated on an annual basis.

a. Find the VAR for one year at a probability of 0.05. Identify and use the most appropriate method given the information you have.

b. Using the information you obtained in part a, find the VAR for one day.

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A television manufacturer had claimed : A television manufacturer had claimed in its warranty that 10% or led of its television set needed any repair during their first two years. A government testing agency selects a sample of 100 sets and finds that 14 required repair during the first tw.. |

Appropriate method given the information : Find the VAR for one year at a probability of 0.05. Identify and use the most appropriate method given the information you have. Using the information you obtained in part a, find the VAR for one day. |

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