Consider a portfolio consisting of 10 million invested in, Ask an Expert

Management Studies

Consider a portfolio consisting of $10 million invested in the S&P 500, and $7.5 million in- vested in U.S. Treasury bonds. The S&P 500 has an expected return of 14 percent and a standard deviation of 16 percent. The Treasury bonds have an expected return of 9 percent and a standard deviation of 8 percent. The correlation between the S&P 500 and the bonds is 0.35. All figures are stated on an annual basis.

a. Find the VAR for one year at a probability of 0.05. Identify and use the most appropriate method given the information you have.

b. Using the information you obtained in part a, find the VAR for one day.

View complete question

Business Management, Management Studies

Category:- Business Management
Reference No.:- M91696905

Have any Question?Write your Review or question?

Related Questions in Business Management

When can the government terminate a contract for

When can the Government terminate a contract for convenience and how is the process of termination conducted?

When it comes to business strategy we often use an acronym

When it comes to Business strategy we often use an acronym SCA as an end state to our strategy. What does SCA stand for and how do we establish it?

If i had to collect and assess the quality and

If I had to collect and assess the quality and appropriateness of data held by a large, multi-national organization. What steps should I take? How would I address network, security, and ethical considerations when decidi ...

What steps has whole foods taken in approprately planning

What steps has Whole Foods taken in approprately planning strategy? Assuming WFoods must develop a new business model, how should they go about this?

Suppose that the government gives a 10 per unit subsidy to

Suppose that the government gives a $10 per unit subsidy to sellers of Humbugs. The pre-subsidy price of Humbugs was $50. There are no additional social benefits to encouraging the consumption of Humbugs. If, at the orig ...

You all work in or know of people who work in enterprise it

You all work in or know of people who work in enterprise IT environments Maintaining the enterprise security posture, legal risk, and security is constantly changing. What makes it so difficult to maintain information se ...

What are some challenges that come with global branding and

What are some challenges that come with global branding and also what are the benefits. what makes global branding unique. what part of the world pose the bigger challenges explain why.

What would be examples of valid selection methods used by

What would be examples of valid selection methods used by the human resource department to ensure selecting the appropriate candidate for a job.

The partners at an investment firm want to know which of

The partners at an investment firm want to know which of their two star financial planners, Brayden or Zoe, produced a higher population mean rate of return last quarter for their clients. The partners reviewed last quar ...

Does fastenal have a sustainable competitive advantage over

Does Fastenal have a sustainable competitive advantage over other brick and mortar industrial suppliers? Does Fastenal have any competitive advantage over Amazon Business that could help protect Fastenal's business again ...

4,153,160 Questions Asked
13,132 Experts
2,558,936 Questions Answered

Ask Experts for help!!

Looking for Assignment Help?

Start excelling in your Courses, Get help with Assignment

Write us your full requirement for evaluation and you will receive response within 20 minutes turnaround time.

Ask Now Help with Problems, Get a Best Answer

Recent Questions

Ask Business Management Expert