In: Finance
You have invested $3M in stock A with the expected annual returns of 10% and the variance of return .0011.
a. What is 3%, one year VaR of your investment? [
b. What is 3%, three months VaR of your investment? [ ]
c. What is the probability that the annual return to your investment would fall below 4.5%? [ ]
1.
=3*(10%-1.88079*SQRT(0.0011))=0.11286 million=112863.75782 $
2.
=3*(10%*3/12-1.88079*SQRT(0.0011)*SQRT(3)/SQRT(12))=-0.01857
million=-18568.12109 $
3.
=NORMDIST(4.5%,10%,SQRT(0.0011),TRUE)=0.0486272142195016