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Assume that daily portfolio returns are independently and identically normally distributed. Dylan Shaw, a new quantitative...

Assume that daily portfolio returns are independently and identically normally distributed. Dylan Shaw, a new quantitative analyst, has been asked by the portfolio manager to calculate portfolio VaRs for 10-, 15-, 20-, and 25-day periods. The portfolio manager notices something wrong with Dylan's calculations. Which one of following VaRs on this portfolio is inconsistent with the others?

10-day VaR = $316M

15-day VaR = $465M

25-day VaR = $600M

20-day VaR = $537M

Solutions

Expert Solution

Which one of following VaRs on this portfolio is inconsistent with the others?

10-day VaR = $316M

jeff jeffy answered 2 years ago
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