Consider random variables (L_{1}) and (L_{2}), modeling loss from two portfolios, and assume that they are jointly

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Consider random variables $L_{1}$ and $L_{2}$, modeling loss from two portfolios, and assume that they are jointly normal. Show that, in this case, value-at-risk is subadditive.

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An Introduction To Financial Markets A Quantitative Approach

ISBN: 9781118014776

1st Edition

Authors: Paolo Brandimarte

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Question Posted: Apr 02, 2024 07:01 AM

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Consider random variables (L_{1}) and (L_{2}), modeling loss from two portfolios, and assume that they are jointly

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SOLUTION Okay here is the proof that ValueatRisk VaR is subadditive for jointly ...View the full answer

An Introduction To Financial Markets A Quantitative Approach

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