11. If the daily, 95% confidence level value at risk (VaR) of a portfolio is correctly estimated to be USD10,000, which of the following statements are correct:I. In 1 out of 20 days, the portfolio value will decline by USD 10,000 or less.II. In 1 out of 20 days, the portfolio value will decline by USD 10,000 or more.III. In 19 out of 20 days, the portfolio value will decline more than USD 10,000.IV. In 19 out of 20 days, the portfolio value will not decline by USD 10,000 or more.(a) I(b) II(c) I and III(d) II and IV12. Assume that portfolio daily returns are independently and identically normally distributed withmean zero. A new quantitative analyst has been asked by the portfolio manager to calculateportfolio VaRs for 10-, 15-, 20-, and 25-day periods. The portfolio manager notices somethingamiss with the analyst's calculations. Assuming the annualized volatilities of daily returns for thefour periods are equal, which of the following VaRs on this portfolio is inconsistent with the others?(a) VaR(10-day) = USD 316 million(b) VaR(15-day) = USD 426 million(c) VaR(20-day) = USD 447 million(d) VaR(25-day) = USD 500 million13. A (possibly biased) coin is tossed twice. If the outcome is two heads, $5 is received. If any tailoccurs a consolation prize of $1 is received. The fair price to play this game is $4. What is theimplied probability of heads?(a) 0.87(b) 0.61(c) 0.71(d) 0.80

Answered: 11. If the daily, 95% confidence level…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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