Approximately the value at risk

Assignment Help Financial Management

Reference no: EM131615709

Show work. Which of the following is approximately the Value at Risk at 5 percent of a portfolio of $10 million of asset A, whose expected return is 10 percent and volatility is 20 percent, and $10 million of asset B, whose expected return is 16 percent and volatility is 25 percent, where the correlation between the two assets is 0.1.

a. $0.9 million

b. $1.9 million

c. $2.9 million

d. $3.9 million

e. None of the above

Reference no: EM131615709

Questions Cloud

About the qualitative approach to project risk assessment : Which of the following statements about the qualitative approach to project risk assessment is most correct?

What is the estimate of the business equity value : Assume that a business has an EBIT of $10 million, interest expense of $2 million, What is the estimate of the business’s equity value?

In capital budgeting context : In a capital budgeting context, which of the following are not real (managerial) options?

Returns to compute an approximate var : The following information for the last 120 days of returns to compute an approximate VaR for a $20 million portfolio using a probability of 0.05.

Approximately the value at risk : Which of the following is approximately the Value at Risk at 5 percent of a portfolio of $10 million of asset A,

Concerned stock price will decline during those three months : A portfolio manager will sell 30,000 shares of Apple in three months.

Forward rate agreement : Show working. A forward rate agreement (FRA) that expires in 180 days and is based on 180-day LIBOR is quoted at 3.0%.

Calculate the sell-through percent for the month : Calculate the sell-through percent for the month. 62.86% 16. For a six-month period the markdowns for the gift department were 15.25%.

What is the npv of the project : What is the NPV of the project and should we accept or reject it?

User Account

All Pages