Use the analytical method and determine the var

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Reference no: EM131318688

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:

Reference no: EM131318688

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