Consider that ibm is trading at 144 and exxon mobil is, Financial Management

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Consider that ibm is trading at 144 and exxon mobil is

Consider that IBM is trading at $144 and Exxon Mobil is trading at $ 88. In your portfolio you own $2,000,000 of IBM and 7,000,000 of. Exxon Mobil has an annualized volatility of 43 % and IBM’s annualized volatility is 18%. The correlation between the two stocks is 33%

Calculate

a) The 10 day 99% Var for each stock.

b) The 5 day 95 % Var for the two-stock portfolio.

c) The diversification benefit of holding IBM stock at the 99% confidence interval for 10 days.

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Financial Management: Consider that ibm is trading at 144 and exxon mobil is

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Financial Management: Consider that ibm is trading at 144 and exxon mobil is

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