Question
Suppose the risk measure R is VaR() for some . Let P1 and P2 be two portfolios whose returns have a joint normal distribution with
Suppose the risk measure R is VaR() for some . Let P1 and P2 be two portfolios whose returns have a joint normal distribution with means 1 and 2, standard deviations 1 and 2, and correlation . Suppose the initial investments are S1 and S2.
Show that R(P1+P2) R(P1)+R(P2)
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Prealgebra
Authors: Marvin L Bittinger, David J Ellenbogen, Barbara L Johnson
7th Edition
032164008X, 9780134347202
