What, if any, is the relationship of variance and VaR?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 11, 2024 09:03 AM

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What, if any, is the relationship of variance and VaR?

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The VaR of a portfolio depends on the variance of the portfolio For example the 95 VaR is the ...View the full answer

Derivatives Principles And Practice

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