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Q.2747 A portfolio consists of five equally weighted assets, each having a value of $200,000. If the standard deviation of returns for the assets is 15%, and the correlation between each pair of assets is 0.4, calculate the portfolio VaR at a 95% confidence level. | Financial Risk Manager Part 2 Quiz - LeetQuiz

Explanation:

\text{VaR} = Z \times \sigma_p \times V

Where

\sigma_p = \sigma \sqrt{\frac{1}{N} + \left(1 - \frac{1}{N}\right)\rho}

= 0.15 \sqrt{\frac{1}{5} + \left(1 - \frac{1}{5}\right) 0.4}

= 10.82\%

Thus,

\text{VaR} = 1.645 \times 0.1082 \times 200,000 \times 5 = \`$177`,989

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Q.2747 A portfolio consists of five equally weighted assets, each having a value of `$200`,000. If the standard deviation of returns for the assets is 15%, and the correlation between each pair of assets is 0.4, calculate the portfolio VaR at a 95% confidence level.