P5 for a basket of uncorrelated assets
Posted: 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 ?
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 ?