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.

Question

Want to see more full solutions like this?

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.

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

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.

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

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.

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

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.

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

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

Ch. 5 - Prob. 1PS Ch. 5 - Prob. 2PS Ch. 5 - When estimating a Sharpe ratio, would it make...Ch. 5 - You’ve just decided upon your capital allocation...Ch. 5 - Prob. 5PS Ch. 5 - The stock of Business Adventures sells for $40 a...Ch. 5 - Prob. 7PS Ch. 5 - a. Suppose you forecast that the standard...Ch. 5 - Using the historical risk premiums as your guide,...Ch. 5 - What has been the historical average real rate of...

Concept explainers

Videos

Answer to Problem 1PS

Explanation of Solution

Want to see more full solutions like this?

Chapter 5 Solutions