If the mean and variance remain the same but the skewness of returns on a portfolio becomes

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If the mean and variance remain the same but the skewness of returns on a portfolio becomes more negative than before, what do you think will happen to the VaR of the portfolio?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 11, 2024 09:03 AM

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If the mean and variance remain the same but the skewness of returns on a portfolio becomes

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Usually when the downside negative skewness increases the left tail ...View the full answer

Derivatives Principles And Practice

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