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Problem 2. Consider the following university endowment funds. They are invested in diversified portfolios with the indicated returns and risks. Calculate Value at Risk (VaR) for each endowment at 5%, at 2.5%, and at 1%. University Central Eastern Northern Southern Western Endowment millions 750 800 1,200 500 600 Weekly Return% 0.8 0.6 0.5 0.9 0.75 Standard Deviation % 2 1.5 3 2 2.5

Problem 2. Consider the following university endowment funds. They are invested in diversified portfolios with the indicated returns and risks. Calculate Value at Risk (VaR) for each endowment at 5%, at 2.5%, and at 1%. University Central Eastern Northern Southern Western Endowment millions 750 800 1,200 500 600 Weekly Return% 0.8 0.6 0.5 0.9 0.75 Standard Deviation % 2 1.5 3 2 2.5

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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Problem. Consider the following university endowment funds.
They are invested in diversified portfolios with the indicated returns and risks.
Calculate Value at Risk (VaR) for each endowment at 5%, at 2.5%, and at 1%.

Problem 2. Consider the following university endowment funds. They are invested in diversified portfolios with the indicated returns and risks. Calculate Value at Risk (VaR) for each endowment at 5%, at 2.5%, and at 1%. University Central Eastern Northern Southern Western Endowment millions 750 800 1,200 500 600 Weekly Return% 0.8 0.6 0.5 0.9 0.75 Standard Deviation % 2 1.5 3 2 2.5
Transcribed Image Text:Problem 2. Consider the following university endowment funds. They are invested in diversified portfolios with the indicated returns and risks. Calculate Value at Risk (VaR) for each endowment at 5%, at 2.5%, and at 1%. University Central Eastern Northern Southern Western Endowment millions 750 800 1,200 500 600 Weekly Return% 0.8 0.6 0.5 0.9 0.75 Standard Deviation % 2 1.5 3 2 2.5
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