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The A&T pension fund has $13 billion, invested in equities. Assume a normal distribution and volatility of 15% per annum. The fund measures the 95% one-year VaR, which gives $3.2 billion. The pension plan wants to allocate this risk to two equity managers, each with the same VaR budget. Given that the correlation between managers is 0.5, the what should be the VaR budget for each?.

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The A&T pension fund has $13 billion, invested in equities. Assume a normal distribution and volatility of 15% per annum. The fund measures the 95% one-year VaR, which gives $3.2 billion. The pension plan wants to allocate this risk to two equity managers, each with the same VaR budget. Given that the correlation between managers is 0.5, the what should be the VaR budget for each?

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The A&T pension fund has $13 billion, invested in equities. Assume a.pdf

  • 1. The A&T pension fund has $13 billion, invested in equities. Assume a normal distribution and volatility of 15% per annum. The fund measures the 95% one-year VaR, which gives $3.2 billion. The pension plan wants to allocate this risk to two equity managers, each with the same VaR budget. Given that the correlation between managers is 0.5, the what should be the VaR budget for each?