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Inputs |
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Outputs |
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Trading days /year |
250 |
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Daily |
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Initial portfolio value (W) |
$200,000 |
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Portfolio Variance |
$2,600,000 |
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Portfolio Standard Deviation |
$1,612 |
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Asset A |
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Daily volatility (%) |
1.0% |
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5 Days |
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Daily volatility ($) |
$1,000 |
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Scaled Std Deviation |
$3,606 |
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Exp Return (per year) |
10.0% |
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VaR confidence interval |
99% |
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Portfolio Weight (w) |
50.0% |
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Normal Deviate |
2.326 |
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Asset B |
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Relative Value at Risk (VaR) |
$8,388 |
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Daily volatility (%) |
1.0% |
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Portfolio Expected Return |
0.240% |
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Daily volatility ($) |
$1,000 |
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Absolute Value at Risk (VaR) |
$7,908 |
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Exp Return (per year) |
14.0% |
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Portfolio Weight (1-w) |
50% |
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Correlation (A,B) |
0.30 |
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