User Account

All Pages

Multivariate normal distribution

Assignment Help Finance Basics
Reference no: EM131936524

Consider a portfolio of three shares (A, B, and C). Their expected annual returns are 6%, 8%, and 5% respectively. The corresponding standard deviations are 12%, 17%, and 6%. The correlations are 0.25 between A and B, 0.18 between A and C, and 0.33 between B and C. Their portfolio weights are 40%, 40%, and 20%. Assuming the returns follow the multivariate normal distribution, calculate the one-year 0.5% Value-at-Risk (VaR) for this portfolio

Reference no: EM131936524

Questions Cloud

Calculate the value of mmc rate-sensitive assets : Calculate the value of MMC's rate-sensitive assets, rate sensitive liabilities and repricing gap over the next year.
What is the expected per unit net gain : Assume that a British pound put option has a premium of $.03 per unit, and an exercise price of $1.56. The present spot rate is $1.61.
Why is this important to the organizations success : What steps did Zappos take to ensure that the firm's work culture fit well with the so-called "Internet Generation?"
What is the weighted average cost of capital of bib : BIB Company has 20% debt and 80% equity. BIB pays 10% interest on all of its debt. BIB has an equity beta of 3. The expected return on the market is 15%.
Multivariate normal distribution : Assuming the returns follow the multivariate normal distribution, calculate the one-year 0.5% Value-at-Risk (VaR) for this portfolio
What is the operating cash flow or ocf : If the tax rate is 35 percent, what is the operating cash flow, or OCF?
Write a program to flag potentially fraudulent transactions : Write a Java program to flag potentially fraudulent transactions in the State of Oklahoma Purchase Card (PCard) Dataset for Fiscal Year 2014.
Statement of common shareholders : The following is a statement of common shareholders' equity with some numbers missing (in millions of dollars).
Find original price of bond that was paid by incestor : A 10-year bond purchased at an effective annual yield rate of 4% has level annual coupons. Find the original price of the bond that was paid by the investor.

Reviews

Write a Review

Finance Basics Questions & Answers

  Financial reporting and analysis

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 ..

  A report on financial accounting

This report is specific for a core understanding for Financial Accounting and its relevant factors.

  Describe the types of financial ratios

Describe the types of financial ratios and other financial performance measures that are used during venture's successful life cycle.

  Differences between sole proprietorship and corporation

Briefly describe the major differences between a sole proprietorship and a corporation

  Prepare a cash budget statement

Calculate the expected value of the apartment in 20 years' time. What is the mortgage loan repayment at the beginning of each month

  What are the implied interest rates

What are the implied interest rates in Europe and the U.S.?

  State pricing theory and no-arbitrage pricing theory

State pricing theory and no-arbitrage pricing theory

  Small business administration

Identify the likely stage for each venture and describe the type of financing each venture is likely to be seeking and identify potential sources for that financing.

  Effect of financial leverage

The Effect of Financial Leverage and working capital management

  Evaluate the basis for the payment to the lender

Evaluate the basis for the payment to the lender and basis for the payment to the company-counterparty.

  Importance of opps, ipps, mpfs and dmepos

Research and discuss the differences and importance of : OPPS, IPPS, MPFS and DMEPOS.

  Time value of money

Time Value of Money project

Free Assignment Quote

Assured A++ Grade

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!

Submit Assignment

Academics

Major Subjects

Majors

Get In Touch

whatsapp: +1-415-670-9521

Phone: +1-415-670-9521

Email: [email protected]

TERMS & POLICIES

HELP & SUPPORT

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd