1)Consider a portfolio which consists of two assets. The returns of the assets are normally distributed with N(0.1,.025) and N(0.2,0.09).0. The value of portfolio today is $120 million . and the covariance matrix are given by [0.025 0.2 S = 0.2 0.09 i) Determine r1 and r2 such that Vport [x] becomes minimum. a) Eport=? b) Vport=? Calculate VaR for 9R%, and c) 2 days d) 5 days d) 2 weeks time horizons
1)Consider a portfolio which consists of two assets. The returns of the assets are normally distributed with N(0.1,.025) and N(0.2,0.09).0. The value of portfolio today is $120 million . and the covariance matrix are given by [0.025 0.2 S = 0.2 0.09 i) Determine r1 and r2 such that Vport [x] becomes minimum. a) Eport=? b) Vport=? Calculate VaR for 9R%, and c) 2 days d) 5 days d) 2 weeks time horizons
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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In this question, R = 8
In this case my VaR is 98%
![1)Consider a portfolio which consists of two assets. The returns of
the assets are normally distributed with N(0.1,.025) and N(0.2,0.09).0.
The value of portfolio today is $120 million, and the covariance
matrix are given by
[0.025 0.2
S =
0.2
0.09
i) Determine r, and r2 such that Vport [x] becomes minimum. a) Eport=?
, b) Vport=? Calculate VaR for 9R%, and c) 2 days d) 5 days d) 2 weeks time
horizons](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F2937ae2a-72a3-4ced-8e0a-921a195407dc%2F7cde8e7e-92d1-41ba-b8e3-8686ec7db2f4%2Fjldnjj_processed.png&w=3840&q=75)
Transcribed Image Text:1)Consider a portfolio which consists of two assets. The returns of
the assets are normally distributed with N(0.1,.025) and N(0.2,0.09).0.
The value of portfolio today is $120 million, and the covariance
matrix are given by
[0.025 0.2
S =
0.2
0.09
i) Determine r, and r2 such that Vport [x] becomes minimum. a) Eport=?
, b) Vport=? Calculate VaR for 9R%, and c) 2 days d) 5 days d) 2 weeks time
horizons
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