Solved

Your $2 Million Portfolio Consists of 25% Evans Stock with

Question 11

Multiple Choice

Your $2 million portfolio consists of 25% Evans stock with Your $2 million portfolio consists of 25% Evans stock with = 0.16,σ = 0.22 and 75% Indy stock with = 0.09,σ = 0.12.The correlation coefficient is 0.65.What is the value at risk over 1 day at a 99% confidence level? Assume 252 days per year. A) $27,976 B) $37,976 C) $47,976 D) $57,976 = 0.16,σ = 0.22 and 75% Indy stock with Your $2 million portfolio consists of 25% Evans stock with = 0.16,σ = 0.22 and 75% Indy stock with = 0.09,σ = 0.12.The correlation coefficient is 0.65.What is the value at risk over 1 day at a 99% confidence level? Assume 252 days per year. A) $27,976 B) $37,976 C) $47,976 D) $57,976 = 0.09,σ = 0.12.The correlation coefficient is 0.65.What is the value at risk over 1 day at a 99% confidence level? Assume 252 days per year.


A) $27,976
B) $37,976
C) $47,976
D) $57,976

Correct Answer:

verifed

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Related Questions

Q6: Harold owns 10,000 shares of IBM at

Q7: A stock has a price of $50

Q8: How is VaR used in credit risk

Q9: What is bootstrapping and what is its

Q10: Kelly owns 50,000 shares of Microsoft at

Q12: What is implied volatility?

Q13: Your portfolio is worth $200,000.The standard deviation

Q14: Why is recent data more relevant than

Q15: A bond maturing in 5 years has

Q16: A stock has a price of $42.63