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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.
Due to a strong campaign, some banks reached a response rate of over 60%, while others hardly reached 20%. To what extent did this bias the reliability of the results? What can be said about the generalization issue?
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