medium · Principles of Finance risk-return-portfolio
An investor holds a portfolio with a daily standard deviation of 1.5%. Using the parametric method, what is the 1-day 95% Value-at-Risk (VaR) for a $10 million portfolio? (Assume mean return is 0 and z_0.95 = 1.645)
- $348,900
- $150,000
- $780,300
- $246,750
Sign up free to see the explanation and track your rank →
More Principles of Finance risk-return-portfolio practice
- In the context of the Fama-French Three-Factor Model, what does the 'HML' factor represent
- Using the Capital Asset Pricing Model (CAPM), calculate the cost of equity for a firm with
- What is the expected return of the portfolio?
- Using the Capital Asset Pricing Model (CAPM), what is the expected return of the stock?
- What is the expected return of the total portfolio?
- If the correlation between A and B is 0, what is the expected return of the portfolio?
- In market microstructure, what does 'Kyle's Lambda' measure?
- If the correlation between the stocks is 0.3, what is the portfolio standard deviation?