The value at Risk of the portfolio at first percentile Introduction: Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

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Answer 1

Question

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

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Answer 2

Question

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

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Answer 3

Question

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

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Answer 4

Question

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

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Answer 5

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

Answer 6

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

Answer 7

Chapter 5, Problem 1PS

Summary Introduction

To determine:

The value at Risk of the portfolio at first percentile

Introduction:

Value at Risk of the portfolio measures the lowest risk of the portfolio. It helps to understand how much would the investor loses in a portfolio. This can be determined through probability of the investment for a particular period of time.

Answer 8

Expert Solution & Answer

Answer to Problem 1PS

It can be concluded that if the 5th percentile of the Value at risk is −30% , this would mean that Value at risk at the first percentile would definitely be less. It would be less than −30% , therefore it could be −45% .

Answer 9

Expert Solution & Answer

Answer 10

Expert Solution & Answer

Answer 11

Explanation of Solution

5th Percentile of Value at risk (Value at risk) means that the return should happen less than 5% of the time or less. That means 1 percentile Value at risk would be a return that should happen less than 1% of the time.

Answer 12

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