You are asked to evaluate the risk of a portfolio containing two securities. The first security has
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You are asked to evaluate the risk of a portfolio containing two securities. The first security has an expected shortfall of −$400 (a loss of $400).The second security has an expected shortfall of −$300. What is the minimum (worst-possible) expected shortfall of the portfolio?
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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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