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4. Value-at-Risk - 25 Points Consider a portfolio initially worth II $50 million, and follows a geometric Brownian motion with dynamics DII4 = II (udt
4. Value-at-Risk - 25 Points Consider a portfolio initially worth II $50 million, and follows a geometric Brownian motion with dynamics DII4 = II (udt + odW:] where p = 10% p.a. o = 30% p.a. What is the estimate of the maximum loss (VaR) of this portfolio over a year at a c= 99% confidence level? 4. Value-at-Risk - 25 Points Consider a portfolio initially worth II $50 million, and follows a geometric Brownian motion with dynamics DII4 = II (udt + odW:] where p = 10% p.a. o = 30% p.a. What is the estimate of the maximum loss (VaR) of this portfolio over a year at a c= 99% confidence level
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