Question 1

An investor is contemplating an investment with a return of { R, where: R = 300,000 -500, 00QU where U is a uniform [0,1] random variable. Calculate each of the following four measures of risk: (a) variance of return (b) downside semi-variance of return shortfall probability, where the shortfall level is (100,000 (d) Value at Risk at the 5% level.Investment returns (% po), X, on a particular asset are modelled using a probability distribution with density function: f(x) =0.00075 100 -(x-5)?) where -5Sx$15 Calculate the mean return and the variance of return