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The change in the value of a portfolio in three months is normally distributed with a mean of $300,000 and a standard deviation of $1.5
- The change in the value of a portfolio in three months is normally distributed with a mean of $300,000 and a standard deviation of $1.5 million. Calculate the VaR and ES for a confidence level of 99.5% and a time horizon of six months.
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Multinational Finance Evaluating The Opportunities Costs And Risks Of Multinational Operations
Authors: Kirt C. Butler
6th Edition
111921968X, 978-1119219682
