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A portfolio has a 95% certainty that it won't lose more than $50,000 in a given day. On the big loss days, there is a
A portfolio has a 95% certainty that it won't lose more than $50,000 in a given day. On the big loss days, there is a 30% chance the portfolio will lose $50,000 and a 70% chance it will lose $75,000. What is the portfolio's expected shortfall?
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Given information A B C 1 chance of loss more than 50000 95 2 On big loss days 3 Case Chance of ...
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Applied Statistics In Business And Economics
Authors: David Doane, Lori Seward
4th Edition
73521485, 978-0073521480
