Risk for different time horizons and confidence levels

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Reference no: EM131839810

Find the value at risk for different time horizons and confidence levels of a 1,000$ portfolio in Dell and Microsoft stocks. Assume that E[RDell] = 0.15%; and E[RMsf t] = 0.05%; and that their daily percentage returns have the following covariance matrix.

Dell Microsoft

Dell 0.400 -0.300

Microsoft -0.300 0.400

Weight of asset 1 is 0.30, weight of asset 2 is 0.71

What is 30-day value at risk at a 95% confidence level: (a) $-4.60; (b) $2.16; (c) $-0.59; (d) $-7.92

Reference no: EM131839810

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