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Consider the example efficient portfolio at the end of Example 4.3.7. Suppose that Ri has the uniform distribution on the interval [ai, bi] for i = 1, 2.
a. Find the two intervals [a1, b1] and [a2, b2]. The intervals are determined by the means and variances.
b. Find the value at risk (VaR) for the example portfolio at probability level 0.97. Review Example 3.9.5 to see how to find the p.d.f. of the sum of two uniform random variables. |
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