Consider a $900 portfolio with three assets,each held in equal value.The VaR of the portfolio is such that an increase in $1 of any of the asset holdings results in a $0.05 increase in VaR.The VaR of this portfolio is approximately equal to:
A)$5
B)$15
C)$45
D)$135

Question

Quizplus · Accepted Answer

Since each asset is held in equal value in a $900 portfolio, each asset represents $300 of the portfolio. An increase of $1 in any of the asset holdings increases the VaR by $0.05. Therefore, for each asset, the increase in VaR proportional to its value in the portfolio is $300 * $0.05 = $15. Since there are three assets, the total increase in VaR for the portfolio is $15 * 3 = $45.

Consider a $900 Portfolio with Three Assets,each Held in Equal