Question: Consider a portfolio with three stocks Si. The current values of the stocks are S1 = 150,S2 = 200,S3 = 350. Assume that in our

Consider a portfolio with three stocks Si. The current values of the stocks are S1 = 150,S2 = 200,S3 = 350. Assume that in our portfolio we have two units of S1 and one unit of S2 and S3. If the daily log-returns Xi of the stocks Si are independent and X1 N (0.5, 1.1), X2 X3 N (0.2, 0.5) calculate the VaR0.95 of the delta-loss L over one day.

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