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Assuming that the portfolio () value is 1 million yuan, 3 is invested in securities 1, 300000 yuan is invested in secur 400000 yuan is invested in securities 3 assets, their correspo weights are 0.5, 0.3 and 0.2 respectively, and the average returns assets are 10%,20%, and 15%, respectively, and the covariance m 0.1 0.04 0.03

Assuming that the portfolio () value is 1 million yuan, 3 is invested in securities 1, 300000 yuan is invested in secur 400000 yuan is invested in securities 3 assets, their correspo weights are 0.5, 0.3 and 0.2 respectively, and the average returns assets are 10%,20%, and 15%, respectively, and the covariance m 0.1 0.04 0.03

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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2. Assuming that the portfolio (HRA) value is 1 million yuan, 300000 yuan is invested in securities 1, 300000 yuan is invested in securities 2, and 400000 yuan is invested in securities 3 assets, their corresponding asset weights are 0.5, 0.3 and 0.2 respectively, and the average returns of the three assets are 10%,20%, and 15%, respectively, and the covariance matrix is 0.1 0.04 0.03 0.04 0.2 - 0.04 - 0.03 -0.04 0.6 Please calculate the maximum loss under the probability of 5% of the portfolio assets, i.e, VaR. (a) = -1. 65 for a = 0.05
Transcribed Image Text:2. Assuming that the portfolio (HRA) value is 1 million yuan, 300000 yuan is invested in securities 1, 300000 yuan is invested in securities 2, and 400000 yuan is invested in securities 3 assets, their corresponding asset weights are 0.5, 0.3 and 0.2 respectively, and the average returns of the three assets are 10%,20%, and 15%, respectively, and the covariance matrix is 0.1 0.04 0.03 0.04 0.2 - 0.04 - 0.03 -0.04 0.6 Please calculate the maximum loss under the probability of 5% of the portfolio assets, i.e, VaR. (a) = -1. 65 for a = 0.05
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