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Need help with this question Let X1N(0,1) and Xi+1 given Xi=x is distributed as N(0,0+ 1x2 ). Moreover, let S=i=1mXi be the total return of
Need help with this question
Let X1N(0,1) and Xi+1 given Xi=x is distributed as N(0,0+ 1x2 ). Moreover, let S=i=1mXi be the total return of a portfolio. Given p implement an MC method to approximate VaR that solves P(S>VaR)= 1p. Using, 5000 samples, test your problem with m=8,0=.5,1=.3, p=.05
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