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The following methods are used to estimate VaR:Historical method;
Parametric method;
Simulation method
The Confidence level is:95%
In calculations for Assignment 1, the VaR calculated by the historical method is:-0,0321
What is VaR?The measure that determines the potential expected negative revaluation of the portfolio market value due to unfavorable changes in market factors over a certain time interval at a given level of confidence.
Doji candlestick is given on the cart as of16/12/2022
The biggest drop of the share price in a week was on dates14/10/2022
The biggest increase of share price in a week was on30/11/2022
The type of the chart presented isJapanese Candlestick
Candlestick shows:Price movements over time
Choose the strengths of the Markowitz modelRelative simplicity of the model
In Markowitz model, an investor evaluates the efficiency of investing money in a portfolio of stocks usingExpected returns and returns variance of portfolio stocks
If an investor has built a “growth portfolio”, then he expects to growMarket value of portfolio securities
Which is usually higher (in percentage): portfolio risk or portfolio return?There is no reliance, it depends
In the market model, β shows the variability of the expected return of a security relative toMarket portfolio return
Select from the list conditions for calculating the return using CAPM (more than 1 option is possible)Information is freely distributed and available to all investors;
Any change in information about the company immediately leads to a change in the value of its assets (stocks).
Based on the β calculated in the problem, draw a conclusion about the sensitivity of the company’s stock return to changes in market return:It is positively correlated with the market return however with smaller volatility.
The average market return (ERm) is0,43
Expected stock return based on the results of calculations:Below market return
In the figure, the value 0.08621 indicates:Losses that the investor will receive with a probability of 95%
What problems is solved on the basis of G. Markowitz’s model?building a portfolio with the maximum level of return and a limited level of risk
At what point is it most profitable to sell stocks if they were bought at point DF
Indicate which prices (points on the chart) are profitable for selling5
If a European investor spend euros in Apple stocks (in dollars), at what point was it most profitable for them to buy stocks, taking into account the exchange rateB
Indicate which prices (points on the chart) are profitable for selling5
Return (loss, if the amount is with a minus) of the investor from the purchase of stocks was (indicate the amount in rubles by a digit, without spaces and punctuation marks, rounded to a whole number):2922563