2): Value of portfolio is $120 million today. A Bank invests in ₁ amount in asset with return N(0:1; 0:1), x2 amount in asset with return N(0:12; 0:2), x3 amount in asset with return N(0:13; 0:3),Covariance matrix of the portfolio ; ੪ [0.1 0 S = 0 0.2 0- 0.0 0 0.3 0.01 i) Determine x₁, x2and x3 such that Vport [x] becomes minimum. a) Eport ?, b) Vport=? ,Calculate VaR for 9R%, and c) 4 days d) 8 days d) 5 weeks time horizons
2): Value of portfolio is $120 million today. A Bank invests in ₁ amount in asset with return N(0:1; 0:1), x2 amount in asset with return N(0:12; 0:2), x3 amount in asset with return N(0:13; 0:3),Covariance matrix of the portfolio ; ੪ [0.1 0 S = 0 0.2 0- 0.0 0 0.3 0.01 i) Determine x₁, x2and x3 such that Vport [x] becomes minimum. a) Eport ?, b) Vport=? ,Calculate VaR for 9R%, and c) 4 days d) 8 days d) 5 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
Related questions
Question
VaR = 98%
![2): Value of portfolio is $120 million today. A Bank invests in
æ1 amount in asset with return N(0:1; 0:1), x2 amount in asset with return
N(0:12; 0:2), x3 amount in asset with return N(0:13; 0:3),Covariance matrix of
the portfolio ;
[0.1
0.0
S = | 0
0.2 0-
0.0 0- 0.3
i) Determine x1 , 2zand x3 such that Vport [x] becomes minimum. a)
Eport=? , b) V port=? ,Calculate VaR for 9R%, and c) 4 days d) 8 days d)
5 weeks time horizons](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F2937ae2a-72a3-4ced-8e0a-921a195407dc%2Fdbb16149-08c2-42ae-91ae-b2b5667f0eba%2F92kdky5_processed.png&w=3840&q=75)
Transcribed Image Text:2): Value of portfolio is $120 million today. A Bank invests in
æ1 amount in asset with return N(0:1; 0:1), x2 amount in asset with return
N(0:12; 0:2), x3 amount in asset with return N(0:13; 0:3),Covariance matrix of
the portfolio ;
[0.1
0.0
S = | 0
0.2 0-
0.0 0- 0.3
i) Determine x1 , 2zand x3 such that Vport [x] becomes minimum. a)
Eport=? , b) V port=? ,Calculate VaR for 9R%, and c) 4 days d) 8 days d)
5 weeks time horizons
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