VAR
Consider a three-asset portfolio valued at 10 million AUD. The portfolio consists of the following stocks: BHP, Commonwealth Bank (CBA) and Woolworths (WOW). The variance covariance matrix of 10 day continuously compounded returns is equal to
BHP CBA WOW
BHP 0.001625 0.000658 0.000769
CBA 0.000658 0.001783 0.000536
WOW 0.000769 0.000536 0.001387
Assuming portfolio weights of BHP (70%), CBA (55%), WOW (-25%), calculate the 99% 10 days relative VAR estimate (employ a z score measured to 2 decimal places)
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2. Suppose there are three assets with returns r1, r2, and r3 with the covariance matrix given by...
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How do you obtain the weights for question b Security Mr. Geller lected information regarding the...
How do you obtain the weights for question b
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i dont understand how to compute the beta for question b Mr. Geller collected information regarding...
i dont understand how to compute the beta for question b
Mr. Geller collected information regarding the following stocks and portfolio: Portfolio P1 Security Security B E(T) 5 % 10% Standard Deviation Weight Security A 40% Weight Security B 40% Weight Security C 20% Security C 3% 0% 20% Mr. Geller also has information regarding the following variance covariance matrix: Variance - Covariance Security A Security B Market Portfolio Security A 0.0064 Security B -0.005 Market Portfolio 0.05 0.025 0.04...
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further understanding with how beta a,b,c are actually computed. I dont unseratand how the answers given...
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function Formula Auditing Defined Names Fundien Lbrary F41 N M K G D J C B 8 Here are the expected returns and standard deviations for stocks A. B. and C: Erd 7.0% Stock 33.11% 53.8% 10 10.0% 20.0% 11 89.44% c 12 13 14 Here is the correlation matrix: A 15 16 0.1891 0.1661 1.0000 0.15/1 1.0000 1.0000 A...
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2. Suppose there are three assets with returns r1, r2, and r3 with the covariance matrix given by: 0.01 r" E(R)0.03 r3 0.09 and Var() Cov(ri, r2) Cov(ri,T3) V(R) Cov(ri,r2) Var(r2) Cov(r2,3) 0.01 0.02-0.02 0.06 0.03 (4) Cov(ri, r3) Cov(r2, Var(ra) -0.02 0.03 0.08 (a) Discuss in detail the different properties of the three assets. (b) Calculate the return and variance of a portfolio in which an investor puts 50% in asset 1 and 50% in asset 2, Hint: In...
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Security Mr. Geller lected information regarding the following stocks and portfolio Portfolio P1 Security A Security B 39 109 Standard Deviation 2096 Weight Security A Weight Security B 4096 Weight Security C 20% 4096 Mr. Geller also has information regarding the following variance covariance matrix Variance - Covariance Security Security Market Portfolio Security A 0.0064 SecuB -0.005 0.04 Market Portfolio 0.05 0.025 0.04 Assume that the CAPM model is valid. Consider...
i dont understand how to compute the beta for question b
Mr. Geller collected information regarding the following stocks and portfolio: Portfolio P1 Security Security B E(T) 5 % 10% Standard Deviation Weight Security A 40% Weight Security B 40% Weight Security C 20% Security C 3% 0% 20% Mr. Geller also has information regarding the following variance covariance matrix: Variance - Covariance Security A Security B Market Portfolio Security A 0.0064 Security B -0.005 Market Portfolio 0.05 0.025 0.04...
Intro Assume that there are only two stocks in the economy, stock A and stock B. The risk-free asset has a return of 3%. The optimal risky portfolio, i.e., the portfolio with the highest Sharpe ratio, is given below: A BC Stock A Stock B Risk-free asset 2 Expected return 0.062 0.075 0.03 3 Variance 0.1521 0.0484 4 Standard deviation 0.39 0.22 5 Covariance 0.02574 D Optimal risky portfolio 8 Weights 9 Expected return 10 Variance 11 Standard deviation 12...
further understanding with how beta a,b,c are actually
computed. I dont unseratand how the answers given are calculated or
is there a part of the calcualtion missing?
Mr. Geller collected information regarding the following stocks and portfolio Portfolio P1 Security A Security B EU 5 % 10% Standard Deviation 20% Weight Security A 40% Weight Security B 40% Weight Security C 20% Security C 3% 8% Mr. Geller also has information regarding the following variance-covariance matrix: Variance - Covariance Security...
A customer is interested in investing and has been tracking the following stocks over time: Stock Mean Return Standard Deviation Variance 12% 11% 10% 28% 0.0432 19% 0.0325 6% 0.0164 The customer wishes to develop a strategy that will provide an expected return of 11.5% The expected return is the return on each stock weighted by the percentage invested in each If the customer placed 40% in A, 20% in B, and 40% in C then the return would be...
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show formula for the yellow box
show formula for the yellow box
show formula for the red and yellow box
function Formula Auditing Defined Names Fundien Lbrary F41 N M K G D J C B 8 Here are the expected returns and standard deviations for stocks A. B. and C: Erd 7.0% Stock 33.11% 53.8% 10 10.0% 20.0% 11 89.44% c 12 13 14 Here is the correlation matrix: A 15 16 0.1891 0.1661 1.0000 0.15/1 1.0000 1.0000 A...
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