User Account

All Pages

Determine the weekly value at risk for the portfolio

Assignment Help Finance Basics
Reference no: EM132779594

Consider a portfolio consisting of stocks as one asset class and bonds as another. The expected return on the stock portion of the portfolio is 12%, and the standard deviation is 22%. The expected return on the bond portion of the portfolio is 5%, and the standard deviation is 7%. All these figures are annual. Assume that the two asset classes have a bivariate normal distribution. The correlation between the two asset classes is 0.15. The portfolio's market value is R150 million, of which 65% is allocated to stock and 35% to bonds. Determine the weekly 95% value at risk (VaR) for the portfolio

Reference no: EM132779594

Questions Cloud

Find change in company return on equity : Under these conditions, the tax rate will be 34%. If the changes are made, what will be the change in company's return on equity?
Which factor poses the greatest threat to google and why : Which factor poses the greatest threat to Google and why? What measures can stakeholders take to reduce adverse impacts of these factors?
Calculate current ratio-debt ratio and total assets turnover : What will be the current ratio, debt ratio and total assets turnover if Cartwright fully succeeds in implementing this plan?
What is the book value per share for preferred stock : What is the book value per share for both preferred stock and common stock assuming a call price per share of $52 for preferred and no dividends in arrears?
Determine the weekly value at risk for the portfolio : The portfolio's market value is R150 million, of which 65% is allocated to stock and 35% to bonds. Determine the weekly 95% value at risk (VaR) for the portfoli
How are assets typically organized on a balance sheet : How are assets typically organized on a balance sheet? In order of value, with most valuable assets first./ In order of value, with least valuable assets first.
In what situations would you use lump sum gmp : 1) In what situations would you use Lump Sum GMP? In what situations would you use Progressive GMP?
Discuss the situation in relation to the justice theory : You work for Shaheen Traders in capacity of Marketing Executive. You have MBA degree and 2 years' experience and your salary is Rs.50,000
Record the transactions assuming stojanovic uses a perpetual : Record the transactions assuming Stojanovic uses a perpetual inventory system. At the beginning of September 2021, Stojanovic Distributing Company

Reviews

Write a Review

Finance Basics Questions & Answers

  Financial reporting and analysis

Finance is about Gunns Ltd, a company in dealing with forestry products in Australia. The company has also been listed in Australian Stock Exchange. As many companies producing forestry products, even Gunns Ltd is facing various problems. Due to the ..

  A report on financial accounting

This report is specific for a core understanding for Financial Accounting and its relevant factors.

  Describe the types of financial ratios

Describe the types of financial ratios and other financial performance measures that are used during venture's successful life cycle.

  Differences between sole proprietorship and corporation

Briefly describe the major differences between a sole proprietorship and a corporation

  Prepare a cash budget statement

Calculate the expected value of the apartment in 20 years' time. What is the mortgage loan repayment at the beginning of each month

  What are the implied interest rates

What are the implied interest rates in Europe and the U.S.?

  State pricing theory and no-arbitrage pricing theory

State pricing theory and no-arbitrage pricing theory

  Small business administration

Identify the likely stage for each venture and describe the type of financing each venture is likely to be seeking and identify potential sources for that financing.

  Effect of financial leverage

The Effect of Financial Leverage and working capital management

  Evaluate the basis for the payment to the lender

Evaluate the basis for the payment to the lender and basis for the payment to the company-counterparty.

  Importance of opps, ipps, mpfs and dmepos

Research and discuss the differences and importance of : OPPS, IPPS, MPFS and DMEPOS.

  Time value of money

Time Value of Money project

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

Submit Assignment

Academics

Major Subjects

Majors

Get In Touch

whatsapp: +1-415-670-9521

Phone: +1-415-670-9521

Email: [email protected]

TERMS & POLICIES

HELP & SUPPORT

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd