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Denote by X, the change of the value of a portfolio at the i-th day. Assume that {X} are iid (independent and identically distributed)
Denote by X, the change of the value of a portfolio at the i-th day. Assume that {X} are iid (independent and identically distributed) normal random variables with distribution N(u,0). Determine the value-at-risk (VaR) with confidence level 1 -a for the total loss over an m-day period. That is, let Y= X + Xm find VaR R such that P(Y>-VaR) = 1-a.
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Answer The total loss over an mday period is given by the sum of the daily changes i...
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Introduction to Operations Research
Authors: Frederick S. Hillier, Gerald J. Lieberman
10th edition
978-0072535105, 72535105, 978-1259162985
