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Suppose each of two independent projects has a probability of 0.03 of a loss of $6 million and a probability of 0.97 of a loss

Suppose each of two independent projects has a probability of 0.03 of a loss of

$6 million and a probability of 0.97 of a loss of $3 million during a one-year period.

The 99% ES for the portfolio of both projects is

a. 9.27

b. 6.35

c. 5.63

d. 12

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