Solved: How much does diversification reduce the var, Risk Management

+44 141 628 6080
[email protected]

How much does diversification reduce the var

Assignment:

Consider a position consisting of a $300,000 investment in gold and a $500,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.8% and 1.2%, respectively, and that the coefficient of correlation between their returns is 0.6. What is the 10-day 97.5% value at risk for the portfolio? By how much does diversification reduce the VaR?

Solution Preview :

Prepared by a verified Expert

Risk Management: How much does diversification reduce the var

Reference No:- TGS02025049

Now Priced at $20 (50% Discount)

Recommended (97%)

Rated (4.9/5)

Have a Question? (oR Write a Review)

Write atleast 100 words!!

Asked Questions

Problem concerning consensual sexual relationship

Question: Jena and Ben are employees of Big City Electronics. They began to have a consensual sexual relationship.

Discussion about gender stereotyping

Prior to your taking this graduate HR law class you had heard of the term "gender stereotyping," but didn't know much about it.

Outline a social issue that is important to you

Outline a social issue that is important to you. Describe why it is important to you, why it is important from a societal perspective and how you think

Identify a true statement about validity

Question: Identify a true statement about validity as applied to a test. Multiple choice question

Problem on journal articles and non-journal materials

Amanda said? Excellent post, Chrystal. You provided great insight into the helpful resource ERIC digital library is. I appreciate how it states the information

Discuss social worker working with foster children

You are a social worker working with foster children. You are making a home visit to Katie, age nine, and her foster family.

How ensure that the youth understand what study involves

What is another way to say ". It is important to ensure that the youth understand what the study involves, what their participation entails

Solution Preview :

Prepared by a verified Expert

Risk Management: How much does diversification reduce the var

Reference No:- TGS02025049

Have a Question? (oR Write a Review)

Recent Questions Asked Risk Management

Q : Case study-two companies-two visions

Q : Impression of the operation of heineken international

Q : Brand development strategies

Q : Discuss-affects of globalization on environment

Q : How much does diversification reduce the var

Q : Brands and products target age groups

Q : Explain the weaknesses of approach to calculating var

Q : Difference between marketing and marketing communications

Q : Development of strategic marketing plan for organic dog food