International Journal of Business and Applied Social Science

ISSN: 2469-6501 (Online)

DOI: 10.33642/ijbass
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  • Call for Papers: VOL: 6, ISSUE: 9, Submission Deadline September 25, 2020

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VOLUME; 6, ISSUE; 2, FEBRUARY 2020

Table of Contents

Articles

Author(s): S. P. Uma Rao, D. R. Adhikari, D. Boudreaux
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Abstract:
There is a risk of extreme events in financial markets. This risk is often understated as we have seen in portfolios of subprime mortgages during the 2008 financial crisis. The goal of this study is to draw inferences about the cross-section of VaR estimates for different asset allocation funds.
The study answers this question for 7 different asset allocations 100% stock (S), 100% T’bonds (B), 100% T’bills (or Cash), .4S+.4B+.2Cash, .6S+.4B, .8S+.2B, and .8S+.2Cash. Further, the present study determines that stock-bond-bill asset allocation over a five-year planning period which minimizes VaR while earning a minimum of 7% return is 72.3% stocks and 27.7% bonds.
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