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A fund is assessing the monthly VAR of its $90 million stock portfolio using the...

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Finance

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A fund is assessing the monthly VAR of its $90 million stock portfolio using the variance/covariance method. The portfolio is currently 70% invested in large-cap stocks and 30% in small cap. The monthly expected return on the large-cap stocks is 1.5%, while that for the small-cap stocks is 1.9%. The corresponding monthly standard deviations are 3.9% and 4.6%. The correlation between the two asset classes is +0.871. Compute the one-month, 5% VAR

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