Consider a two-asset portfolio invested with $10 in each asset. The mean returns of the two assets are and . The correlation of returns is 50%. The standard deviation of returns is 20% and 30%, respectively. What is the 99%-VaR of this portfolio?
A) 6.22
B) 7.66
C) 8.40
D) 10.58
Correct Answer:
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Q1: The value-at-risk of a portfolio is
A)
Q2: You invest $100 each in two
Q3: Which of the following best characterizes the
Q4: You invest $100 each in two
Q5: Value-at-Risk (VaR) is most closely defined as
A)
Q7: A portfolio has a current value
Q8: Monte Carlo is widely-used approach for computing
Q9: Which of the following is not a
Q10: You invest $100 in a corporate bond.
Q11: The delta-normal method for computing VaR has
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