Question
A fund manager announces that the fund's one month 95% expected shortfall is 5.6% of the size of the portfolio being managed. You have an
A fund manager announces that the fund's one month 95% expected shortfall is 5.6% of the size of the portfolio being managed. You have an investment of R750 000 in the fund. How do you interpret the portfolio manager's announcement?
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Business Forecasting
Authors: John E. Hanke, Dean Wichern
9th edition
132301202, 978-0132301206
