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Consider a position consisting of a $300,000 investment in goldand a $500,000 investment in silver. Suppose that the dailyvolatilities of these two assets are 1.8% and 1.2%, respectively,and that the coefficient of correlation between their returns is0.6. What is the 10-day 97.5% VaR and ES for the portfolio? By howmuch does diversification reduce the VaR and ES?Suppose in the period that you did the question above the priceof 1 unit of gold and 1 unit of silver where 1250$ and 350$. Thenext day the prices become $1240 and $354.Calculate the 1-day 99.9%VaR and ES for the portfolio.I already have the first half finished, I just need the secondhalf.
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