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mathdude2018
Topic Author
Posts: 15
Joined: January 10th, 2018, 4:35 pm

P5 for a basket of uncorrelated assets

August 13th, 2021, 12:41 pm

I need to value a basket of assets.

Each component of the basket are independent i.e mutual correlation is 0

I know the P5/P10 of each asset in the basket.

Can I calculate the P5 of the basket based on the above knowledge ?
 
User avatar
bearish
Posts: 5186
Joined: February 3rd, 2011, 2:19 pm

Re: P5 for a basket of uncorrelated assets

August 13th, 2021, 4:28 pm

OK, I’ll bite. What’s a P5?