Based on the given annual returns, calculate the VAR for portfolios A and B to determine which is optimal. Additionally, assume that anything more than a 5% loss is unacceptable. Porfolio A Porfolio B Market T-bills A B Market RF 0.11 0.09 0.14 0.02 -0.04 -0.07 -0.06 0.03 0.13 0.11 0.10 0.03 0.07 0.09 0.05 0.04 0.19 0.16 0.18 0.03 0.09 0.07 0.10 0.03

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
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Based on the given annual returns, calculate the VAR for portfolios A and B to
determine which is optimal. Additionally, assume that anything more than a 5%
loss is unacceptable.
Porfolio A Porfolio B Market T-bills
A
B
Market RF
0.11
0.09
0.14
0.02
-0.04
-0.07
-0.06
0.03
0.13
0.11
0.10
0.03
0.07
0.09
0.05
0.04
0.19
0.16
0.18
0.03
0.09
0.07
0.10
0.03
Transcribed Image Text:Based on the given annual returns, calculate the VAR for portfolios A and B to determine which is optimal. Additionally, assume that anything more than a 5% loss is unacceptable. Porfolio A Porfolio B Market T-bills A B Market RF 0.11 0.09 0.14 0.02 -0.04 -0.07 -0.06 0.03 0.13 0.11 0.10 0.03 0.07 0.09 0.05 0.04 0.19 0.16 0.18 0.03 0.09 0.07 0.10 0.03
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