Value of a portfolio of trading assets

Reference no: EM13827776

Problem:

The mean change in the value of a portfolio of trading assets has been estimated to be 0 with a standard deviation of 20 percent. Yield changes are assumed to be normally distributed.

1. What is the maximum yield change expected if a 90 percent confidence (one-tailed) limit is used?

a. 3.30%.
b. 20.0%.
c. 33.0%.
d. 39.2%.
e. 46.6%.

2. What is the maximum yield change expected if a 95 percent confidence (one-tailed) limit is used?

a. 3.30%.
b. 20.0%.
c. 33.0%.
d. 39.2%.
e. 46.6%.

3. What is the maximum yield change expected if a 99 percent confidence (one-tailed) limit is used?

a. 3.30%.
b. 20.0%.
c. 33.0%.
d. 39.2%.
e. 46.6%.

Additional Information:

These short questions is from Finance and it is about computation of the maximum yield change expected for portfolio of trading assets for 90% confidence level, 95% confidence level, and 99% confidence level have been computed in the solution.

Reference no: EM13827776

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