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Thread: Probability of achieving an expected rate of return by targeting a constat VaR level

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    Probability of achieving an expected rate of return by targeting a constat VaR level




    Hi all, I am new to this website. Trying to infer the probability of achieving an expected annual rate of return say 10% (assuming my daily returns follow a normal distribution) when say I am targeting an average daily VaR of say 1% at a 95% confidence interval. Also what is the most accurate methodology to use to estimate annualised volatility if again I am targeting a daily VaR of 1%. Thank you all in advance.

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    Re: Probability of achieving an expected rate of return by targeting a constat VaR le


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    Re: Probability of achieving an expected rate of return by targeting a constat VaR le

    Thanks Jesper, is there anything in particular in the link above that can assist me in my query cause from what I saw its more generic info on posting questions.

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    Re: Probability of achieving an expected rate of return by targeting a constat VaR le


    I think the question could be made clearer...

  5. The Following User Says Thank You to JesperHP For This Useful Post:

    GretaGarbo (06-07-2014)

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