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Assume that you are long 15 futures of class "A" maturity Feb21 and you are long 20 futures of class "B" maturity Feb 21. The value of future class "A" price is $16.88 and value of future class " B" is $ 15.50 1) what is 10day VAR 1% (or 99% confidence interval ) in dollar for your portfolio 2) what is the limits of the risk measure ? Information: Standard deviation A - 2.89% Standard Deviation B - 2.56% Correlation A,B= 0.92

Assume that you are long 15 futures of class "A" maturity Feb21 and you are long 20 futures of class "B" maturity Feb 21. The value of future class "A" price is $16.88 and value of future class " B" is $ 15.50 1) what is 10day VAR 1% (or 99% confidence interval ) in dollar for your portfolio 2) what is the limits of the risk measure ? Information: Standard deviation A - 2.89% Standard Deviation B - 2.56% Correlation A,B= 0.92

Essentials Of Investments
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
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Assume that you are long 15 futures of class "A" maturity Feb21 and you are long 20 futures of class "B" maturity Feb 21. The value of future class "A" price is $16.88 and value of future class " B" is $ 15.50 1) what is 10day VAR 1% (or 99% confidence interval ) in dollar for your portfolio 2) what is the limits of the risk measure ? Information: Standard deviation A - 2.89% Standard Deviation B - 2.56% Correlation A,B= 0.92
Transcribed Image Text:Assume that you are long 15 futures of class "A" maturity Feb21 and you are long 20 futures of class "B" maturity Feb 21. The value of future class "A" price is $16.88 and value of future class " B" is $ 15.50 1) what is 10day VAR 1% (or 99% confidence interval ) in dollar for your portfolio 2) what is the limits of the risk measure ? Information: Standard deviation A - 2.89% Standard Deviation B - 2.56% Correlation A,B= 0.92
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