QUESTION FIVE (5) a) The daily gain from a portfolio is normally distribute I with mean GHS20,000 cad standard deviation GHS 0.6 million. Using Besarket risk requirements, calculate the value at risk for determining mician capital b) Suppose that the spot price of a non-dividend-paying stock is $50, the 3-month forward price is $55, the 6-month USS interest rate is 10% per annum. Is there an arbitrage opportunity?
QUESTION FIVE (5) a) The daily gain from a portfolio is normally distribute I with mean GHS20,000 cad standard deviation GHS 0.6 million. Using Besarket risk requirements, calculate the value at risk for determining mician capital b) Suppose that the spot price of a non-dividend-paying stock is $50, the 3-month forward price is $55, the 6-month USS interest rate is 10% per annum. Is there an arbitrage opportunity?
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 11P
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Transcribed Image Text:QUESTION FIVE (5)
a) The daily gain from a portfolio is normally distribute I with mean GHS20,000
cad standard deviation GHS 0.6 million. Using Besarket risk requirements,
calculate the value at risk for determining mician capital
b) Suppose that the spot price of a non-dividend-paying stock is $50, the 3-month
forward price is $55, the 6-month USS interest rate is 10% per annum. Is there
an arbitrage opportunity?
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