(a) Find the value at risk (VaR) for an investment of $100,000 at 2%. (That is, find...
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(b) To reduce the VaR to $20,000, how much more expected growth would be necessary? Assume that the SD of the growth remains 20%.
(c) If the VaR of an investment is $20,000 for a one-year holding period, does that mean that the VaR for a two-year holding period is $40,000?
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Statistics For Business Decision Making And Analysis
ISBN: 9780321890269
2nd Edition
Authors: Robert Stine, Dean Foster
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