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We have $15 million in Stock A, and $10 million in Stock B. Assume N = 10 (days) and X = 99%. Assume daily volatility of Stock A of 2% and daily volatility of Stock B of 1%. The correlation coeffcient is 0.3. The total value of the stocks exhaust the wealth, which means the total value of the fund is V = $15m+$10m = $25m. Assuming normal distribution, with N = 10 (days) and X = 99%, by how much in dollars the diversification reduces 1-day and 10-day-VaR, and 1-day and 10-day ES. Hint: Assume m = 0, and compute the the N-day VaRs and N-day ESs for the individual stocks, and then compute the same by combining the two stocks in a portfolio.
Finance is about Gunns Ltd, a company in dealing with forestry products in Australia. The company has also been listed in Australian Stock Exchange. As many companies producing forestry products, even Gunns Ltd is facing various problems. Due to the ..
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