Asset A investment of 200,000 and 500,000 for B. assume daily volatilities of th

  1. profile image44
    willyberchieposted 7 years ago

    Asset A investment of 200,000 and 500,000 for B. assume daily volatilities of the assets are 1.6%

    and 1.2% respectively, and correlation coefficient between their return is 0.3:
    a) what is the one-day 95% VaR for the portfolio?
    b) which is the five-day 99% VaR for the portfolio?
    c) which conclusions can be drawn from the difference between the outcome of Parts a and b?

  2. MickS profile image70
    MickSposted 7 years ago

    Work it out yourself, looks like homework to me.

 
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