Consider a portfolio consisting of stocks and treasury bills. The expected return on the stocks is 25%, and the standard deviation is 30%. The expected return on the treasury bills is 1%, and treasury bills are risk free. All of these figures are annual. The portfolio's market value is $200 million and is allocated 90% to stocks and 10% to treasury bills. Determine the 1% annual VaR and the 1% weekly VaR using the analytical method.

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
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Consider a portfolio consisting of stocks and treasury bills. The expected return on the stocks is 25%, and the standard deviation is 30%. The expected return on the treasury bills is 1%, and treasury bills are risk free. All of these figures are annual. The portfolio's market value is $200 million and is allocated 90% to stocks and 10% to treasury bills. Determine the 1% annual VaR and the 1% weekly VaR using the analytical method.

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