Calculate an approximate var for a portfolio

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Reference no: EM131325390

Calculate the VAR for the following situations:

a. Use the analytical method and determine the VAR at a probability of 0.05 for a portfolio in which the standard deviation of annual returns is $2.5 million. Assume an expected return of $0.0.

b. Use the historical method and the following information for the last 120 days of returns to calculate an approximate VAR for a portfolio of $20 million using a probability of 0.05:

Less than -0%	5
-10% to -5%	18
-5% to 0%	42
0% to 5%	36
5% to 10%	15
Greater than 10%	4

Reference no: EM131325390

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