You are given a portfolio of three assets whose returns are jointly normally distributed with the following

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You are given a portfolio of three assets whose returns are jointly normally distributed with the following mean vector and covariance matrix:

(a) Compute the 95% VaR for the portfolio if we invest $1 in the first asset, $2 in the second asset, and $3 in the third asset.

(b) How much does each asset’s holding contribute to the overall VaR risk?

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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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You are given a portfolio of three assets whose returns are jointly normally distributed with the following

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Let the mean vector of returns be and the covariance matrix be denoted Let the vector o...View the full answer

Derivatives Principles And Practice

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