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Business, 11.02.2021 17:20 edjiejwi

g Let R denote the simple monthly return on Microsoft stock and let W0 denote initial wealth to be invested over the month. Assume that R ? N(0:05;(0:12)2 ) and that W0 = $100,000. ? Determine the 1% and 5% value-at-risk (VaR) over the month on the investment. That is, determine the loss in investment value that may occur over the next month with 1% probability and with 5% probability. ? Determine the 1% and 5% expected shortfall (ES) over the month on the investment.

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