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You own 10,000 shares of AIG. The current market price is $55. You are interested in knowing the ''worst case value'' W of this portfolio
You own 10,000 shares of AIG. The current market price is $55. You are interested in knowing the ''worst case value'' W of this portfolio in three years, where we define the worst case value W by Pr[S3W]=0.005 (i.e., 0.5%). Assume that the expected return and volatility of the stock price are 6% and 30%, respectively.
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