Question
The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be 1%. a) What is
- The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be 1%.
a) What is the loss that has a 0.1% chance of being exceeded, assuming the change in value of the portfolio is normally distributed with zero mean?
b) What is the loss that has a 0.1% chance of being exceeded, assuming the power law applies with = 3?
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Personal Financial Planning
Authors: Randy Billingsley, Lawrence J. Gitman, Michael D. Joehnk
14th edition
978-1305887725, 1305887727, 1305636619, 978-1305636613
