1 Given the following historical prices calculate a distribution of possible prices forthe next time period:Time 1Price2803456.781011501006020304060403050What is the 85% VaR?What is the 85% expected Shortfall?Using an exponentially weighted moving average with lambda=0.5 calculate andestimate of the volatility at the current time.

A financial statistic called Value at Risk (VaR) calculates an investment's risk. VaR, as employed…

1 Given the following historical prices calculate a distribution of possible prices for the next time period: Time 1 2 Price 100 80 3 60 4 20 What is the 85% VaR? What is the 85% expected Shortfall? 5 30 6 7 8 9 10 11 40 60 40 30 50 50 Using an exponentially weighted moving average with lambda=0.5 calculate and estimate of the volatility at the current time.

1 Given the following historical prices calculate a distribution of possible prices for the next time period: Time 1 2 Price 100 80 3 60 4 20 What is the 85% VaR? What is the 85% expected Shortfall? 5 30 6 7 8 9 10 11 40 60 40 30 50 50 Using an exponentially weighted moving average with lambda=0.5 calculate and estimate of the volatility at the current time.

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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