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A portfolio manager is constructing a portfolio of stocks and corporate bonds. The portfolio manager has estimated that stocks and corporate bond returns have daily standard deviations of 1.8% and 1.1%, respectively, and estimates a correlation coefficient of returns of 0.43. If the portfolio manager plans to allocate 35% of the portfolio to corporate bonds and the rest to stocks, what is the daily portfolio VAR (2.5%) on a percentage basis? A. 3.05%. B. 2.71%. C. 2.27%. D. 2.57%. |