Treasury bonds the sampp 500 has an expected return of 14, Ask an Expert

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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.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92718215

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