Suppose that the two return random variables R1 and R2 in Examples 4 2 2 and 4 2 3 are independent Consider the portfolio at the end of Example 4 2 3 with s1 54 shares of the first stock and s2 110 shares of the second stock a Prove that the change in value X of the portfolio has the p d f b Find t...

a We need the pdf of X 54R 1 110R 2 where R 1 has the uniform distribution on the interval 10 20 and ...

Suppose that the two return random variables R1 and R2 in Examples 4.2.2 and 4.2.3 are independent.

Question:

Suppose that the two return random variables R1 and R2 in Examples 4.2.2 and 4.2.3 are independent. Consider the at the end of Example 4.2.3 with s1 = 54 shares of the first stock and s2 = 110 shares of the second stock.
a. Prove that the change in value X of the has the p.d.f.
b. Find the value at risk (VaR) at probability level 0.97 for the Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...