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.)
Inventory control implies a planned approach of ascertaining while to buy, how much to buy and how much to stock hence costs including storing and buying are optimally minimum, wit
1. The acceptance of a capital budgeting project is usually evaluated on its own merits. That is, capital budgeting decisions are treated separately from capital structure decision
Which of the following actions are most likely to directly increase cash as shown on a firm's balance sheet? Explain and state the assumptions that underlie your answer. 1. It i
Q. What is Backup Withholding? Backup Withholding -Payers of interest, dividends and other reportable payments shouldwithhold income tax equal at a rate equal to the fourth low
Effect of discharge An order of discharge releases the bankrupt from all disabilities imposed by the bankruptcy (except those which apply for a fixed period after discharge - s
The financial year of Jack and Jill Ltd will end on 31 May 2008. At 1 June 2007, the company had in use equipment with a total accumulated cost of Rs 135,620 which had been depreci
Wendy is evaluating a capital budgeting project that should last for 4 years. The project requires $ 800,000 of equipment. She is unsure what depreciation method to use in her anal
Assignments with the answer for tafe sa 4 edition. Question 11, page 76 and question 39, page 89
The following are the three-month HIBOR and three-year EFN futures prices for September 2010 contracts. a Determine the HIBOR in three-months for settling the futures
Accounting concepts The word 'Accounting Concept' is used to denote necessary assumptions and ideas which are basic to accounting practice. The variety of accounting concepts i
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: +91-977-207-8620
Phone: +91-977-207-8620
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd