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Suppose you manage a portfolio that contains a single asset. The mean return on the asset is 5% and standard deviation of 20%. The value
Suppose you manage a portfolio that contains a single asset. The mean return on the asset is 5% and standard deviation of 20%. The value of the portfolio today is $500 million.
a) What is the probability of a loss of more than $100 million by year end?
b) With 5 percent probability, what is the maximum loss at the end of the year?
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