Consider an investment whose expected return is 20 percent and standard deviation is 8.5 percent. Compute...
Homework Answers
| VaR = [Expected Weighted Return of the Portfolio - (z-score of the confidence interval * standard deviation of the portfolio)] | |
| VAR = [20% - (2.576 *8.5%)] | -0.01896 |
| VAR summarizes the predicted maximum loss over a target horizon within a given confidence interval. | |
| Z score o the confidence interval 99% | 2.576 |
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