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a 5 Consider a portfolio of three projects each of which has a 4% chance of a loss of 10m, a 31% chance of a
a 5 Consider a portfolio of three projects each of which has a 4% chance of a loss of 10m, a 31% chance of a loss of $5m and a 65% change of a gain of $im. You may assume the outcomes are independent. a) Calculate the 95% VaR and Expected Shortfall of a single project. b) Calculate the 95% VaR and Expected shortfall of the portfolio of three projects
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The Principals Guide To School Budgeting
Authors: Richard D. Sorenson, Lloyd M. Goldsmith
3rd Edition
1506389457, 978-1506389455
