You want to calculate the 30 Day 95% VaR for the following portfolio. You invest $5 million in the NADAQ composite and short $4 million of Bitcoin. The NASDAQ composite has standard deviation of returns of 15% pa; Bitcoin has standard deviation of returns of 20%. The two assets have a correlation of 0.8. Assuming a 250 day year, what is the 30 day VaR

You want to calculate the 30 Day 95% VaR for the following portfolio. You invest $5 million in the NADAQ composite and short $4 million of Bitcoin. The NASDAQ composite has standard deviation of returns of 15% pa; Bitcoin has standard deviation of returns of 20%. The two assets have a correlation of 0.8. Assuming a 250 day year, what is the 30 day VaR

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 12P

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