Question: Suppose that the two return random variables R1 and R2 in Examples 4.2.2 and 4.2.3 are independent. Consider the portfolio at the end of Example

Suppose that the two return random variables R1 and R2 in Examples 4.2.2 and 4.2.3 are independent. Consider the at the end of Example 4.2.3 with s1 = 54 shares of the first stock and s2 = 110 shares of the second stock.
a. Prove that the change in value X of the has the p.d.f.
b. Find the value at risk (VaR) at probability level 0.97 for the

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a We need the pdf of X 54R 1 110R 2 where R 1 has the uniform distribution on the interval 10 20 and ... View full answer

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