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Consider stock A and stock B whose future returns one year from now are normally distributed. Return on A has a mean of 8% and
Consider stock A and stock B whose future returns one year from now are normally distributed. Return on A has a mean of 8% and a standard deviation of 20%. Return on B has a mean of 4% and a standard deviation of 10%. Then, 5%-VaR (5%-lowest return) of stock A is lower than that of stock B.
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