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Suppose that each of two investments has a 4% chance of a loss of $10 million, a 2% chance that a loss of $1 million,
Suppose that each of two investments has a 4% chance of a loss of $10 million, a 2% chance that a loss of $1 million, and a 94% chance of a profit of $1 million. They are independent of each other. a. What is the 95% VaR for each investment? b. What is the 95% CVaR for each investment? c. What is the 95% VaR for a portfolio consisting of the two investments? d. What is the 95% CVaR for a portfolio consisting of the two investments? e. Show that in this example VaR doesnt satisfy the subadditivity condition whereas CVaR does
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