The annual return distributions (distribution, mean and variance) for stocks X and Y are specified as rx~N(0.10,
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Question:
The annual return distributions (distribution, mean and variance) for stocks X and Y are specified as
rx~N(0.10, 0.04)
ry~N(0.15, 0.09)
With the bare minimum of calculations, outline which stock will have the lower 1-year value-at-risk (VaR) at the 95% and 99% levels.
Related Book For
Business Statistics In Practice
ISBN: 9780073401836
6th Edition
Authors: Bruce Bowerman, Richard O'Connell
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