Suppose $X$ is a normal with zero mean and standard deviation of $$ 10$ million. (a) Find

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Suppose $X$ is a normal with zero mean and standard deviation of $\$ 10$ million.

(a) Find the value at risk for $X$ for the risk tolerances $h=0.01,0.02,0.05,0.10,0.50,0.60$, and 0.95 .

(b) Is there a relation between $\mathrm{VaR}$ for values of $h \leq 0.50$ and values for $h \geq 0.50$ ?

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Investment Science

ISBN: 9780199740086

2nd Edition

Authors: David G. Luenberger

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Question Posted: Apr 19, 2024 02:01 AM

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Suppose $X$ is a normal with zero mean and standard deviation of $$ 10$ million. (a) Find

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a To find the Value at Risk VaR for various risk tolerances for a normal distribution with zero mean ...View the full answer

Investment Science

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