A fund manager announces that the fund's onemonth 95% expected shortfall is 6% of the size of

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A fund manager announces that the fund's one‐month 95% expected shortfall is 6% of the size of the portfolio being managed. You have an investment of $100,000 in the fund. How do you interpret the portfolio manager's announcement?

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Risk Management And Financial Institutions

ISBN: 9781119932482

6th Edition

Authors: John C Hull

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Question Posted: Mar 03, 2024 03:00 AM

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A fund manager announces that the fund's onemonth 95% expected shortfall is 6% of the size of

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Risk Management And Financial Institutions

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