Suppose portfolio mean return is 25% and standard deviation 30%. Find the 2 standard deviation range. Now you wish to estimate the portfolio's fifth-percentile VaR (the value below which lie 5% of the returns). Will the 5% VaR be greater or less than -30%? Please show your work:

MATLAB: An Introduction with Applications
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ISBN:9781119256830
Author:Amos Gilat
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Suppose portfolio mean return is 25% and standard
deviation 30%. Find the 2 standard deviation range. Now
you wish to estimate the portfolio's fifth-percentile VaR (the
value below which lie 5% of the returns). Will the 5% VaR be
greater or less than -30%? Please show your work:
Transcribed Image Text:Suppose portfolio mean return is 25% and standard deviation 30%. Find the 2 standard deviation range. Now you wish to estimate the portfolio's fifth-percentile VaR (the value below which lie 5% of the returns). Will the 5% VaR be greater or less than -30%? Please show your work:
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