Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. finance
  3. 1. explain how the following greeks are applied in

1. Explain how the following Greeks are applied in the management of financial risk? a....

60.1K

Verified Solution

Question

Finance

image
1. Explain how the following Greeks are applied in the management of financial risk? a. Delta b. Gamma c. Rho d. Theta e. Vega 2. Consider an investor had a portfolio of $10 million bonds in a long position suppose the confidence interval is 95%. The actual daily deviation of the portfolio over one trading year is 3.67%. a. What is the daily VAR of this Portfolio? b. What is the VAR for 1-month horizon (30 days)? 3. A portfolio consists of two assets, Bonds and stock. The two invested amount is $2,000,000 of which 60% is invested in Bonds and the balance is invested in stocks. The rate of return on the bonds is 15% with a standard deviation of 12%. The return on the stock is 25% with a standard deviation of 20%. The coefficient of correlation between the bond and stock is 0.75 or 75%. a. Calculate the portfolio expected rate of return? b. Calculate the risk of the portfolio

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students

Q

ALL TRUE OR FALSE 1. Unipolar neurons are the least abundan neurons. 2. A subthreshold EPSP cannot depolarize...

Medical Sciences
Q

Assume a cell with the following conditions. K+ Equilibrium Potential = -81 mV Na+ Equilibrium Potential =...

Biology
Q

Showing your humanity usually refers to an act of kindness or charity. Treating someone humanely means...

Psychology
Q

What are the challenges that you face in the tourism marketing industry?

General Management
Q

Select the correct answer.Bacteria begins to grow on the water's surface in a non-operational swimming...

Basic Math
Q

O 9 In its monthly report the local animal shelter states that it currently has...

Statistics
Q

use the comparison test to determine whether the following series Converge or diverge.(a) ?1/3K +5(b)...

Algebra
Q

Classify the costs as Direct Material, Direct Labor, Overhead, or Period Costs. Salary - Collar...

Accounting
Q

At the time of her death on september 4, Alicia held the following assets: Alicis...

Accounting
Q

Perit Industries has $180,000 to invest in one of the following two projects: The working...

Accounting
Q

The comparative financial statemenst of Marshall Inc. are as follows. The market price of Marshall...

Accounting
Q

Tyler Tooling Company uses a job order cost system with overhead applied to products on...

Accounting