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Mathematics, 21.10.2021 14:00 josmanu235

Consider a portfolio consisting of a single stock with current value St = 100. Each year, the stock price either increases by 4% with probability 0.8 or decreases by 4% with probability 0.2. Compute VaRα for
α ∈ {0.7, 0.95, 0.96, 0.99} over a time horizon of two years.

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Consider a portfolio consisting of a single stock with current value St = 100. Each year, the stoc...
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