What is the var of a 10 million portfolio with normally distributed returns at the 5% VaR? Assume the expected return is 13% and the standard deviation is 20%. a) -19.90.
b) -13%.
c) 19.90%.
d) 13%.
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 24%, while stock B has a standard deviation of return of 18%. Stock A comprises 60% of the portfolio, while stock B comprises 40% of the portfolio. If the variance of return on the portfolio is .0380, the correlation coefficient between the returns on A and B is:.
a) 583.
b) 225.
c) 128.
d) 327.

Answer and Explanation:

The computation is shown below:

1. VaR = Expected return - z × Standard deviation  

= 13% - 1.645 × 20%

= -19.90%

Therefore the option a is the correct answer.

2) Now the correlation coefficient is

Variance of the portfolio  = (weight of A × Standard deviation 1)^2 + (weight of B × Standard deviation 2)^2 + (2 × weight of A × weight of B × Standard deviation 1 × Standard deviation 2 × correlation 1 and 2)

3.80% = (60% × 24%)^2 + (40% × 18%)^2 + (2 × 60% × 40% × 24% × 18% × correlation 1 and 2)

So the correlation is 0.583

the correct answer would be b, when, queen, calder hall and london.

explanation:

we always capitalize words when a paragraph or sentence is starting, when an important name is used, when a place is being written, or simply when a noun is used, etc. so in this sentence, sentence is starting from 'when', so it will be written in capital letters. secondly, queen is considered to be an important person, so it will also be written in capital letter. next, the name of the town is mentioned, i-e calder hall, which will also be written in capital letters. in the last,   city name is being used, 'london', which will also be written in capital letters. so option b is the most appropriate one.