Page 1 of 1
Question 4 (20 points): There are two securities (A and B). Stock A has a daily return with mean 0 and standard deviatio
Posted: Sun Apr 17, 2022 6:19 pm
by answerhappygod
- Question 4 20 Points There Are Two Securities A And B Stock A Has A Daily Return With Mean 0 And Standard Deviatio 1 (334.54 KiB) Viewed 36 times
Question 4 (20 points): There are two securities (A and B). Stock A has a daily return with mean 0 and standard deviation 2%, stock B has a daily return with mean O and standard deviation 1.5%. The current price of stock A and B are 100 and 80 respectively. The correlation between stock A and B is 0.4. (a) What is the 95% 5-day VaR for an investment of buying 10 thousand shares of stock A? (b) What is the 95% 10-day VaR for an investment of buying 9 thousand shares of stock B? (c) What is the 95% 10-day VaR if you have a portfolio of the above two investments?? a