Suppose $X_{1}$ and $X_{2}$ are jointly normal positions with parameters $mu_{1}, mu_{2}, sigma_{1}, sigma_{2}, sigma_{12}$. Show that
Question:
Suppose $X_{1}$ and $X_{2}$ are jointly normal positions with parameters $\mu_{1}, \mu_{2}, \sigma_{1}, \sigma_{2}, \sigma_{12}$. Show that
\[\operatorname{VaR}_{h}\left(X_{1}+X_{2}\right) \leq \operatorname{VaR}_{h}\left(X_{1}\right)+\operatorname{VaR}_{h}\left(X_{2}\right) .\]
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: