question archive You want to calculate the 30 Day 95% VaR for the following portfolio
You want to calculate the 30 Day 95% VaR for the following portfolio
Subject:AccountingPrice: Bought3
You want to calculate the 30 Day 95% VaR for the following portfolio. You invest $5 million in the NADAQ composite and short $4 million of Bitcoin. The NASDAQ composite has standard deviation of returns of 15% pa; Bitcoin has standard deviation of returns of 20%. The two assets have a correlation of 0.8. Assuming a 250 day year; what is the 30 day VaR?
Answer to 3 decimal places and in millions of dollar terms.
Answer.
