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- Consider a position consisting of a K200,000 investment in Asset A and a K300,000 investment in Asset B. Assume that the daily volatilities of the assets are 1.5% and 1.8% respectively, and that the coefficient of correlation between their returns is 0.4. What is the five day 95% Value at Risk (VaR) for the portfolio (95% confidence level represents 1.65 standard deviations on the left side of a normal distribution)?Consider a position consisting of 200,000 investment in asset A and 300,000 investment in asset B. Assume that the daily volatility of the assets are 1.5% and 1.8% respectively, and that coefficient of correlation between their returns is 0.4. What is the five day 95% VAR for the portfolio (given 95% confidence level represents 1.65 standard deviations on the left side of the normal distribution)?Consider a position consisting of a $100,000 investment in asset A and a $100,000 investment in asset B. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3. What is the 5-day 99% VaR for the portfolio?
- A portfolio consists of $15 million of asset A (for which annual expected return is 10% and annual return volatility is 25%), $15 million of asset B (for which annual expected return is 15% and annual return volatility is 30%), and $20 million of asset C (for which annual expected return is 20% and annual return volatility is 35%). The return correlation between each pairing of assets A, B and C is 0.2. Assume the annual portfolio return is normally distributed. What is the annual return volatility of the portfolio? a. 21.3% b. 24.9% c. 27.8% d. 32.5% e. None of the aboveA portfolio consists of $15 million of asset A (for which annual expected return is 10% and annual return volatility is 25%), $15 million of asset B (for which annual expected return is 15% and annual return volatility is 30%), and $20 million of asset C (for which annual expected return is 20% and annual return volatility is 35%). The return correlation between each pairing of assets A, B and C is 0.2. Assume the annual portfolio return is normally distributed. What is the 1-year 5% Value-at-Risk of the portfolio (i.e., there is a 5% probability that the portfolio will suffer a loss greater than what dollar value for the year)? a. $1.24 million b. $3.86 million c. $9.75 million d. $19.50 million e. None of the above4. Consider a position consisting of a $50,000 investment in onions and a $80,000 investment in rubber bands. Suppose that the per annum volatilities of these two assets are 25% and 15%, respectively, and that the coefficient of correlation between their returns is -0.4. What is the 5-day 97.5% VaR and ES for the portfolio? By how much does diversification reduce the VaR? Assume jointly normally distributed returns.
- In a perfect world where asset return is normally distributed. We have risk and return characteristics of following assets below: Assets ABC DEF Market portfolio Expected Return 10% 15% 5% Standard Deviation 20% 40% 10% Correlation coefficient with market 0.6 0.2 1 Weight 60% 40% 0% If market return increase by 5% this month, what is the change in expected portfolio return of the same month in PERCENTAGE? Any intermediate steps should be rounded to 4 or more decimal places. Round your final answer in percentage to 2 decimal places and exclude the % sign. For example, 20.1234% should be input as 20.12.In a perfect world where asset return is normally distributed. We have risk and return characteristics of following assets below: Assets ABC DEF Market portfolio Expected Return 10% 15% 5% Standard Deviation 20% 40% 10% Correlation coefficient with market 0.6 0.2 1 Weight 60% 40% 0% If market return increase by 5% this month, what is the change in expected portfolio return of the same month in PERCENTAGE?You estimate that the expected return of the portfolio is 8% and that the standard deviation is 15%. If you had invested 1 million in the portfolio, what is the size of a large loss as measured by the VaR? A) -20.00% B) -16.75% C) -17.25% D) -16.31%
- Consider a position consisting of a $315,380 investment in Oracle Corporation (ORCL) and a $271,440 investment in NVIDIA Corporation (NVDA). Suppose that the daily volatilities of these two assets are 4.14% and 5.71% respectively and that the coefficient of correlation between their return is 0.6778. With an assumption that it follows the normally distributed returns, the 27-day 99% Value at Risk (VaR) for NVIDIA Corporation (NVDA) is closest to A. $187,355.52. B. $157,830.54. C. $124,900.63. D. $100,900.64.Consider a position consisting of a $65,080 investment in Shin’s Korean Technology (SHIT) and a $22,210 investment in Coca-Cola Company (KO). Suppose that the daily volatilities of these two assets are 2.14% and 2.71% respectively and that the coefficient of correlation between their return is 0.4168. With an assumption that it follows the normally distributed returns, the 32-day 95% Value at Risk (VaR) for Shin’s Korean Technology (SHIT) is closest to A. $16,620.41. B. $14,816.56. C. $12,958.76. D. $10,007.37.Consider the case of two financial assets and three market conditions (states). The tablebelow gives the respective probability for each market condition and the return of each assetin each one of them. Market Conditions State Recession Normal Expansion Probability of state 30% 40% 30% Return of asset A -30% 20% 55% Return of asset B -10% 70% 0% Consider the portfolio with 50% investment in each of the two assets above. Calculatethe expected return and the standard deviation of the portfolio.
