Question: Problem 2. Consider a portfolio with three stocks S. The current values of the stocks are S = 150, S, = 200, S. = 350.

Problem 2. Consider a portfolio with three stocks S. The current

Problem 2. Consider a portfolio with three stocks S. The current values of the stocks are S = 150, S, = 200, S. = 350. Assume that in our portfolio we have two units of S and one unit of S, and S3. If the daily log-returns X, of the stocks S are independent and X1 ~ N(0.5, 1.1), X, X3 N(-0.2, 0.5) calculate the VaRo.us of the delta-loss L over one day. Problem 2. Consider a portfolio with three stocks S. The current values of the stocks are S = 150, S, = 200, S. = 350. Assume that in our portfolio we have two units of S and one unit of S, and S3. If the daily log-returns X, of the stocks S are independent and X1 ~ N(0.5, 1.1), X, X3 N(-0.2, 0.5) calculate the VaRo.us of the delta-loss L over one day

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