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Suppose that each of two investments has a 3% chance of a loss of R15 million, a 2% chance of a loss of R1.5 million

Suppose that each of two investments has a 3% chance of a loss of R15 million, a 2% chance of a loss of R1.5 million and a 95% chance of a profit of R1.5 million. They are independent of each other. Calculate the expected shortfall (ES) when the confidence level is 95%

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