Consider a portfolio with expected annual return of 21.1% and volatility of 38%. Determine an analytical VaR for one month at 5% for a portfolio worth $100 million. o a. $16,341,597.61 ob. $15,871,500.8 Oc. $14,987,243.87 od. $17,805,123.64 o e. $17,681,784.87

Consider a portfolio with expected annual return of 21.1% and volatility of 38%. Determine an analytical VaR for one month at 5% for a portfolio worth $100 million. o a. $16,341,597.61 ob. $15,871,500.8 Oc. $14,987,243.87 od. $17,805,123.64 o e. $17,681,784.87

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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Question

Consider a portfolio with expected annual return of 21.1% and volatility of 38%. Determine an
analytical VaR for one month at 5% for a portfolio worth $100 million.
o a. $16,341,597.61
o b. $15,871,500.8
Oc. $14,987,243.87
o d. $17,805,123.64
o e. $17,681,784.87

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