Already have an account? Get multiple benefits of using own account!
Login in your account..!
Remember me
Don't have an account? Create your account in less than a minutes,
Forgot password? how can I recover my password now!
Enter right registered email to receive password!
A) Suppose you have two stocks (A and B) in your portfolio, worth $400,000 and $600,000 respectively. The annual volatility is 0.30 and 0.35 respectively. The correlation between the two stocks is 0.42. Please calculate the 10-day, 95% VaR for the two positions separately and for the portfolio. How much is the VaR reduction in the portfolio? Re-calculate the portfolio VaR and VaR reduction assuming a correlation of 0.9. What can you conclude? (Hint: for accuracy and convenience, it is a good idea to set up the calculation in a spreadsheet. Also, assume 252 days in a year.)
B) Suppose you add Stock C to your portfolio. Stock C has an annual volatility of 0.25. The correlations are ρAB=0.42, ρAC=0.20, and ρBC=0.33. Keeping the total investment at $1,000,000, and assuming that achieving the lowest VaR is the only objective, what is optimal allocation among the three stocks? (Hint: please Solver in Excel.)
The following items are found in the trial balance of M/s Sharada Enterprise on 31st December, 2000. 10 marks Summer 2013 Sundry Debtors Rs.160000 Bad Debts written off Rs 9000 Dis
The objective of this project is to demonstrate the effect of releasing accounting information concerning profits on the valuation (i.e. share price) of an Australian;listed compan
Relationship between these aspects is set out in Figure. Figure: The accounting information system There are four sequential stages of an
Allie forms Broadbill Corporation by transferring land (basis of $125,000, fair market value of $775,000), which is subject to a mortgage of $375,000. One month prior to incorporat
We consider N identical firms that compete à la Cournot. Each firm incurs a constant marginal cost c. The demand for the homogenous good is given by the following function: Q = 1 -
the salaries paid in 2004 is rs. 500000 salaries outstanding is rs.20000 salaries paid in advance for 2004 is rs 30000 what is the actual salary expenditure for 2004?
A Treasury bond that matures in 10 years has a yield of 3%. A 10-year corporate bond has a yield of 9%. Suppose that the liquidity premium on the corporate bond is 0.8%. What is th
Q. What do you mean by Fiscal Year? Fiscal Year - Period of 12 consecutive months chosen by an entity as its ACCOUNTING period that may or may not be a calendar year. Fixed Ass
First's current stock price is $260. The price may rise to $300 or fall to $170 in one month. The risk-free interest rate is 18% per year. a. Using the replication portfolio app
EXECUTORSHIP Executorship is the body of statute law, case law and practice concerning the management of the estate of a deceased person. In what follows, we shall express the
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!
whatsapp: +1-415-670-9521
Phone: +1-415-670-9521
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd