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
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ISBN:9781119256830
Author:Amos Gilat
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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
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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