27.An investor has $2500 invested in stock A and $5000 in stock B.The yearly volatilities of A and B are 32% and 24% respectively and the coefficient of correlation is 0.7.What is the benefit of diversification from one-day 99% portfolioVaR?(Note that N(-2.326)=0.01,round the answer two digits after the decimal
27.An investor has $2500 invested in stock A and $5000 in stock B.The yearly volatilities of A and B are 32% and 24% respectively and the coefficient of correlation is 0.7.What is the benefit of diversification from one-day 99% portfolioVaR?(Note that N(-2.326)=0.01,round the answer two digits after the decimal
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Ab. 108.
![27.An investor has $2500 invested in stock A and $5000 in stock B.The yearly volatilities of A and B are 32% and 24% respectively and the
coefficient of correlation is 0.7.What is the benefit of diversification from one-day 99% portfolioVaR? (Note that N(-2.326)=0.01,round the
answer two digits after the decimal](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F0a566f77-d7e8-4910-9c09-a31d7141a31f%2Faca76cb5-5065-4a44-8329-0aa8f0be428a%2Fm5toaw_processed.png&w=3840&q=75)
Transcribed Image Text:27.An investor has $2500 invested in stock A and $5000 in stock B.The yearly volatilities of A and B are 32% and 24% respectively and the
coefficient of correlation is 0.7.What is the benefit of diversification from one-day 99% portfolioVaR? (Note that N(-2.326)=0.01,round the
answer two digits after the decimal
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