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Answer: JPY 6,775,050
D is correct. If the real-estate asset is dropped, the portfolio will contain only the financial asset. Then the new portfolio VaR is that of the financial asset alone (JPY 4,787,400), which implies that dropping the real-estate asset will result in a reduction in portfolio VaR of JPY 11,562,450 - JPY 4,787,400 = JPY 6,775,050.
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In the context of calculating the portfolio's Value at Risk (VaR), consider a scenario where a real estate asset is part of the portfolio. Assuming the real estate asset is sold and the cash proceeds from this sale are not reinvested into the portfolio, what would be the decrease in the overall portfolio's Value at Risk?
A
JPY 2,252,250
B
JPY 3,494,700
C
JPY 5,746,950
D
JPY 6,775,050