Investment Daily vol st.

dev $ Hlutfall N(2,5%)

Gold 300,000 1.80% 5,400 33% 1.96
Silver 500,000 1.20% 6,000 56% 1.96
Nickel 100,000 2.50% 2,500 11% 1.96
Portfolio 900,000 0.94% 8,451 1.96

r (w*s)^2 2r(w*s)+(w*s)
Gold&Silver 0.6 0.000036 0.00000000192
Gold&Nickel -0.2 4.444444E-05 -1.111111111E-10
Silver&Nickel 0.3 7.716049E-06 2.057613169E-10
0.000088 0.00000000201

s^2GSN s
0.0088% 0.94%

a)
10d_VaR 52,376
10d_ES 62,473

b)
VaR Diversification
Gold 33,469
Silver 37,188
Nickel 15,495
Samtals 86,152
VaR Portfolio 52,376
Sparnaður 33,775
Leið 2

Investment Daily vol st.dev $ Hlutfall N(2,5%)

Gold 300,000 1.80% 5,400 33% 1.96
Silver 500,000 1.20% 6,000 56% 1.96
Nickel 100,000 2.50% 2,500 11% 1.96
Portfolio 900,000 1.19% 10,672 1.96

r
Gold&Silver 0.6
Gold&Nickel -0.2
Silver&Nickel 0.3

b)
VaR Diversification
Gold 33,469
Silver 37,188
Nickel 15,495
Samtals 86,152
VaR Portfolio 66,144
Sparnaður 20,007
1d_VaR 10d_VaR ES_St.dev 1d_ES 10d_ES
10,584 33,469 2.34 12,624 39,921
11,760 37,188 2.34 14,027 44,357
4,900 15,495 2.34 5,845 18,482
16,563 52,376 2.34 19,756 62,473
1d_VaR 10d_VaR ES_St.dev 1d_ES 10d_ES
10,584 33,469 2.34 12,624 39,921
11,760 37,188 2.34 14,027 44,357
4,900 15,495 2.34 5,845 18,482
20,917 66,144 2.34 24,949 78,895