Already have an account? Get multiple benefits of using own account!
Login in your account..!
Remember me
Don't have an account? Create your account in less than a minutes,
Forgot password? how can I recover my password now!
Enter right registered email to receive password!
A) Suppose you have two stocks (A and B) in your portfolio, worth $400,000 and $600,000 respectively. The annual volatility is 0.30 and 0.35 respectively. The correlation between the two stocks is 0.42. Please calculate the 10-day, 95% VaR for the two positions separately and for the portfolio. How much is the VaR reduction in the portfolio? Re-calculate the portfolio VaR and VaR reduction assuming a correlation of 0.9. What can you conclude? (Hint: for accuracy and convenience, it is a good idea to set up the calculation in a spreadsheet. Also, assume 252 days in a year.)
B) Suppose you add Stock C to your portfolio. Stock C has an annual volatility of 0.25. The correlations are ρAB=0.42, ρAC=0.20, and ρBC=0.33. Keeping the total investment at $1,000,000, and assuming that achieving the lowest VaR is the only objective, what is optimal allocation among the three stocks? (Hint: please Solver in Excel.)
The chief accountant of kamau ltd
Balance Sheets: contains the balance sheets as of December 31, 2010, 2009, and 2008. Accounting practice and tradition dictates that the most current year is placed nearest to the
Variation of securities It would seem logical to carry out a strict apportionment between income and capital every time investments are bought or sold. If this were done, it wo
BFD Co has occurrence rapid growth in turnover since its formation three years ago but it has been unable to maintain net profit margin which has fallen from 19% in 2002 to 12% in
Which of the following events would be recorded as an accounting event? Answer a. A guest purchases a meal in a food outlet.
The managerial performance measure must be quantitative and the manner in which it is to be calculated should be specified. The managerial performance measure must ideally be linke
#Which of the two ratios are the greatest? 1.67.1 or 0.29.1
Below is the Trial Balance for Clay Employment Services, year ending December 31, 2011. Previous period's information were as follows: net receivables, $290,000 and inventory, $82
practical problems of chapter one of company accounts
A portfolio consists of the following three assets A, B and C. (a) Assuming a risk-free rate of 5.85 per cent and an expected return on the market of 13.60 per cent, calculate t
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!
whatsapp: +1-415-670-9521
Phone: +1-415-670-9521
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd