Question: question 1 1. Consider a normal distribution with mean / and standard deviation o, and probability density function, pdf f (x ) = - exp

question 1

1. Consider a normal distribution with mean / and standard deviation o, and probability density function, pdf f (x ) = - exp - (* - 4)21 Let (x) and (x) denote the pdf, and cumulative distribution function, cdf of the standard normal distribution (/ = 0,0 = 1). Show that TVaRp (X) = u+ $ 4-1(p)] 1 - p

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