1. Assume we have the performance history of 3 stocks over 4 periods 0.01 0.05 -0.1...

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1. Assume we have the performance history of 3 stocks over 4 periods 0.01 0.05 -0.1 0.02 -0.05 0.12 -0.005 0.03 -0.01 -0.05 -0.1 -0.03 Given a portfolio X = [50%, 20%, 30%], what's the historical expected shortfall of the portfolio? I ■ R = Explain the optimization process to find the minimum expected shortfall portfolio based on historical data. 1. Assume we have the performance history of 3 stocks over 4 periods 0.01 0.05 -0.1 0.02 -0.05 0.12 -0.005 0.03 -0.01 -0.05 -0.1 -0.03 Given a portfolio X = [50%, 20%, 30%], what's the historical expected shortfall of the portfolio? I ■ R = Explain the optimization process to find the minimum expected shortfall portfolio based on historical data.

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SOLUTION To calculate the historical expected shortfall of a portfolio we need to follow these steps Step 1 Calculate the portfolio returns for each p... View the full answer