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

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

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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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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