Question: For a random variable X that follows a standard normal distribution, i.e.,X-N (0,1), it is known that Pr(X 2.05375)= 2%. Assume that the return of

For a random variable X that follows a standard normal distribution, i.e.,X-N (0,1), it is known that Pr(X 2.05375)= 2%. Assume that the return of a risky investment follows a normal distribution, and that it has an expected return of 7% and a standard deviation of 12%. Answer questions (a) and (b) accordingly.

(a) What is the 2% value at risk (VaR) of this risky investment?

Show the steps using the information provided on the standard normal distribution that support your answers.

(b) On page 120 of your textbook, two special properties of the normal distribution are summarized.Your calculation in question (a) should confirm one of the two properties.Which one is it?

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