Mr. X a portfolio Manager invests - 25,00,000 in stock Alpha and Beta in ratio of 60 : 40. The daily standard deviation of stock Alpha is 1.20% and…
CA Final · Advanced Financial Management · PYQS · May 2026
Mr. X a portfolio Manager invests - 25,00,000 in stock Alpha and Beta in ratio of 60 : 40. The daily standard deviation of stock Alpha is 1.20% and stock Beta is 0.90%. The correlation between Alpha and Beta is 0.6. Mr. X wanted to measure VAR for confidence level 99% and 90% level. (Z score: 99% confidence level: 2.33 and 90% confidence level: 1.28) Assume 252 trading days in a year and mean return is zero. From the information given above, choose the correct answer to the Question Nos. 10 to 12:
Suggested Answer and Working Notes:
Correct Answer: Option (C)
9,05,271
Topics: Portfolio Management
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