We have two investors with different information who intend to buy 100 shares of the company OMEGA. The share price is €35.08 with an annual volatility of 12%. The first investor
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Get it written →We have two investors with different information who intend to buy 100 shares of the company OMEGA. The share price is €35.08 with an annual volatility of 12%. The first investor estimates that the stock will yield an additional 10% with the same annual volatility while the second believes in a 5% price reduction with an annual volatility of 15%. Calculate the 95% VaR before and after the realization of the two strategies. Comment on the results.
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