Based on the given annual returns, calculate the VAR for portfolios A and B to determine which is optimal. Additionally, assume that anything more than a 5% loss is unacceptable. Porfolio A Porfolio B Market T-bills A B Market RF 0.11 0.09 0.14 0.02 -0.04 -0.07 -0.06 0.03 0.13 0.11 0.10 0.03 0.07 0.09 0.05 0.04 0.19 0.16 0.18 0.03 0.09 0.07 0.10 0.03
Based on the given annual returns, calculate the VAR for portfolios A and B to determine which is optimal. Additionally, assume that anything more than a 5% loss is unacceptable. Porfolio A Porfolio B Market T-bills A B Market RF 0.11 0.09 0.14 0.02 -0.04 -0.07 -0.06 0.03 0.13 0.11 0.10 0.03 0.07 0.09 0.05 0.04 0.19 0.16 0.18 0.03 0.09 0.07 0.10 0.03
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
Problem 1PS
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Based on the given annual returns, calculate the VAR for portfolios A and B to determine which is optimal. Additionally, assume that anything more than a 5% loss is unacceptable.
|
Porfolio A |
Porfolio B |
Market |
T-bills |
|
A |
B |
Market |
RF |
|
0.11 |
0.09 |
0.14 |
0.02 |
|
-0.04 |
-0.07 |
-0.06 |
0.03 |
|
0.13 |
0.11 |
0.10 |
0.03 |
|
0.07 |
0.09 |
0.05 |
0.04 |
|
0.19 |
0.16 |
0.18 |
0.03 |
|
0.09 |
0.07 |
0.10 |
0.03 |
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