Your $2 million portfolio consists of 25% Evans stock with = 0.16,σ = 0.22 and 75% Indy stock with = 0.09,σ = 0.12.The correlation coefficient is 0.65.What is the value at risk over 1 day at a 99% confidence level? Assume 252 days per year.
A) $27,976
B) $37,976
C) $47,976
D) $57,976

Question

Your $2 million portfolio consists of 25% Evans stock with  = 0.16,σ = 0.22 and 75% Indy stock with  = 0.09,σ = 0.12.The correlation coefficient is 0.65.What is the value at risk over 1 day at a 99% confidence level? Assume 252 days per year.
A) $27,976 
B) $37,976 
C) $47,976 
D) $57,976

Quizplus · Accepted Answer

The Answer of Your $2 million portfolio consists of 25% Evans stock with  = 0.16,σ = 0.22 and 75% Indy stock with  = 0.09,σ = 0.12.The correlation coefficient is 0.65.What is the value at risk over 1 day at a 99% confidence level? Assume 252 days per year.
A) $27,976 
B) $37,976 
C) $47,976 
D) $57,976

Your $2 Million Portfolio Consists of 25% Evans Stock with