Find expert advice and community support for all your questions on IDNLearn.com. Discover detailed and accurate answers to your questions from our knowledgeable and dedicated community members.
1. An investor can choose between two investments, X and Y.
Investment X: the rate of return is distributed uniformly between -5%
and 25%.
Investment Y: the rate of return is distributed normally with mean
10% and variance 75%%.
(a) Show that the rate of return on X has the same mean and variance
as the rate of return on Y.
(b) The investor can invest his entire wealth of £1 million in X or Y.
Calculate the 95% value at risk for these two investments.
(c) Comment on your results from parts (a) and (b).
Sagot :
We are happy to have you as part of our community. Keep asking, answering, and sharing your insights. Together, we can create a valuable knowledge resource. Your questions deserve precise answers. Thank you for visiting IDNLearn.com, and see you again soon for more helpful information.
