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Question Seven: An investor is contemplating an investment with a return of R Kwacha, where: R = 300,000 - 500,000U; Where U is a Uniform
Question Seven: An investor is contemplating an investment with a return of R Kwacha, where: R = 300,000 - 500,000U; 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 c. shortfall probability, where the shortfall level is 100,000 d. Value at Risk at the 5% level [8 Marks] Question Seven: An investor is contemplating an investment with a return of R Kwacha, where: R = 300,000 - 500,000U; 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 c. shortfall probability, where the shortfall level is 100,000 d. Value at Risk at the 5% level [8 Marks]
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