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Explain value at risk technique

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Reference no: EM133113961

Fund

Total Value (million$)

Weekly rate of return %

Standard deviation of weekly returns %

Satori

500

1.50

2.40

Dakota

500

1.20

2.00

a) Use the Value at Risk (VaR) technique and determine which fund is better.

b) Use Roy's safety-first criteria instead.  Assume RL of 0.5%.  Which fund is better?

Reference no: EM133113961

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