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An investor holds an asset that produces a random return, R, over the course of a year. The distribution of this rate of return is

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An investor holds an asset that produces a random return, R, over the course of a year. The distribution of this rate of return is a mixture of distributions: With probability 0.75, R is uniformly distributed on [-2.5,5); With probability 0.25, R takes value of -4, -2, 0, +2, or +4 with equal likelihood. Evaluate the following measures of risk for R: a) 88% Value at Risk b) 88% Tail Value at Risk An investor holds an asset that produces a random return, R, over the course of a year. The distribution of this rate of return is a mixture of distributions: With probability 0.75, R is uniformly distributed on [-2.5,5); With probability 0.25, R takes value of -4, -2, 0, +2, or +4 with equal likelihood. Evaluate the following measures of risk for R: a) 88% Value at Risk b) 88% Tail Value at Risk

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