Already have an account? Get multiple benefits of using own account!
Login in your account..!
Remember me
Don't have an account? Create your account in less than a minutes,
Forgot password? how can I recover my password now!
Enter right registered email to receive password!
Using historical data for the five companies and assuming the value of your portfolio is $1million, compute the followings:
1. The 90% and the 95% historical Value-at-Risk for each of the 5 stocks.
2. The 90% and the 95% historical Expected Shortfall for each of the 5 stocks.
3. Assume that the data are normally distributed what is the potential losses in 1 month at 99% percent confidence level for each of the 5 stocks.
4. Assume that the data are normally distributed, what is the expected losses in 1 month at 99% percent confidence level for each of the 5 stocks.
5. Assume short-selling is allowed, what is the potential lossesin 1 month at 99% percent confidence level for each of the 5 stocks.
6. Assume short-selling is allowed, what is the average lossesin 1 month at 99% percent confidence level for each of the 5 stocks.
Attachment:- Assignment.zip
If you fail to show the commands for each step you will lose at least 5 points. This is a preparation for the final.
Instructions: 1. You submit a soft- and a hardcopy of your work. 2. You can work as a group of two. 3. The assignment is due 4. The hardcopy is aimed not to report data but results. If the results are not organized very well you will lose points. 5. Write down each specific step(s) for calculating VaR and ES. 6. Write down the function used for calculation. Assume that I do not know how to do the calculation and I will use your command(s) as a guide. For example: Suppose that I want to calculate the covariance of 2 arrays, then the command that I need to show is:
Write an evaluation that critiques the use of Kraljic's Portfolio Purchasing Model as a tool for developing sourcing strategy. Focus your critique on the two dimensions of Kraljic's model. Explain the limitations of the model.
Essay on understanding how self-managed learning can enhance lifelong development - Development plan based on identified needs.
Under what circumstances would it make sense to use both measures to compare the performance of a given set of portfolios? What additional information is provided by a comparison of the rankings achieved using the two measures?
Calculate the weights of the minimum variance portfolio. Use the formulas in the footnote of page 156 in your textbook to calculate these weights.
What is the name given to a failure to diversify one's portfolio internationally? Describe the problem. (b) In your own words, provide a behavioral explanation for this tendency.
a) Construct a 99% confidence interval for the difference in means
Find at least three sources of historical information on nominal and real GDP. Find two sources of an annual estimate of nominal GDP.
Calculate the correlation coefficient between two series: the EUXDIPC ratio and the DJEURST for the same month (i.e., both from month t for a given pair of observations).
An athlete is running the 110 m hurdles. There are 10 hurdles. The probability falling at each hurdle is 20%.
Identify and briefly discuss three reasons why the disparity in ratios may not indicate that NewSoft's shares are overvalued relative to the shares of Capital Corp.
Calculate the set of daily returns that correspond to these daily price series. Based on your results in Part d, which stock appears to be the riskiest?
What is the variance and standard deviation for stock A and stock B and what isof the standard deviation of an equally weighted portfolio of these two stocks if the correlation is 0.2?
Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!
whatsapp: +1-415-670-9521
Phone: +1-415-670-9521
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd