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Given the total value (Al) covariance matrix Asset 1 Asset 2 Asset 3 Asset 1 0.3 0.01 0.02 Asset 2 0.01 0.1 -0.05 Asset

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Given the total value (Al) covariance matrix Asset 1 Asset 2 Asset 3 Asset 1 0.3 0.01 0.02 Asset 2 0.01 0.1 -0.05 Asset

Posted: Tue Jan 18, 2022 1:02 pm
by answerhappygod
Given The Total Value Al Covariance Matrix Asset 1 Asset 2 Asset 3 Asset 1 0 3 0 01 0 02 Asset 2 0 01 0 1 0 05 Asset 1
Given The Total Value Al Covariance Matrix Asset 1 Asset 2 Asset 3 Asset 1 0 3 0 01 0 02 Asset 2 0 01 0 1 0 05 Asset 1 (21.92 KiB) Viewed 234 times
Given the total value (Al) covariance matrix Asset 1 Asset 2 Asset 3 Asset 1 0.3 0.01 0.02 Asset 2 0.01 0.1 -0.05 Asset 3 0.02 -0.05 0.15 the 97% individual VaR for asset 1 is 1 na
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