The position $X$ has a 1-year probability density function that is normal with a mean of $$

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The position $X$ has a 1-year probability density function that is normal with a mean of $\$ 100$ million and a standard deviation of $\$ 50$ million. What is the value at risk at the $99 %$ confidence level?

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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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The position $X$ has a 1-year probability density function that is normal with a mean of $$

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To calculate the value at risk VaR at the 99 confidence level for position X we need to det...View the full answer

Investment Science

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