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The Westover Fund is a portfolio consisting of 42 percent fixed income investments and 58 percent equity investments. The manager of the Westover Fund recently estimated that the annual VAR(5 percent), assuming a 250-day year, for the entire portfolio was $1,367,000 based on the portfolio’s market value of $12,428,000 and a correlation coefficient between stocks and bonds of zero. If the annual loss in the equity position is only expected to exceed $1,153,000 5 percent of the time, then the daily expected loss in the bond position that will be exceeded 5 percent of the time is closest to: A. $72,623. B. $55,171. C. $21,163. D. $46,445. |