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Numerical example equal-volatility approach. Let’s consider an example with three assets. The first asset (security A) has a volatility of 5% per year, the second security (security B) as a volatility of 10%, and the third security (security C) has a volatility of 20% per year. In that case, the weights are. for security A. for security B. First, calculate volatility (annualized standard deviation of daily returns) over a rolling 10-day period. Next, monitor the 10-day vol over a rolling 100-day window. Whenever it jumps above the 99th percentile for that 100-day period it’s time for risk-off. Otherwise, anything at or below the 99th percentile is risk-on. Hello, in the last lecture we reviewed how to measure the risk of an individual asset. Let's now continue our discussion of finding a measure of portfolio risk. Specifically, let's consider again a portfolio that is 50% invested in Toyota and 50% invested in Pfizer and find it's volatility.