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The income from a portfolio during a 1-year period is normally distributed with a mean of $5 million and a standard deviation of $3 million.
- The income from a portfolio during a 1-year period is normally distributed with a mean of $5 million and a standard deviation of $3 million. What is the 99% VaR of its income? Please explain what this 99% VaR implies (the statement)?
| Rank | Return |
|
| |
| 86 | -0.03676 |
| 87 | -0.04035 |
| 88 | -0.04324 |
| 89 | -0.04953 |
| 90 | -0.05821 |
| 91 | -0.05905 |
| 92 | -0.065 |
| 93 | -0.06511 |
| 94 | -0.07055 |
| 95 | -0.07621 |
| 96 | -0.08184 |
| 97 | -0.08675 |
| 98 | -0.09255 |
| 99 | -0.10026 |
| 100 | -0.10291 |
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Personal Finance
Authors: Jeff Madura
3rd Edition
0321357973, 978-0321357977
