5. Suppose we have a risky asset with random return R. We have defined R to be, S₁ - So So R = In = Now we introduce the log-return, which is defined as R = assume that R~ N(u, o²) where μ = 0 and o² = 0.1. µ (i) Show that ReR - 1. = So In this question, (ii) Calculate VaR0.95 for an investment of £150. Remember that if X ~ N(μ,0²) then eis lognormally distributed with parameters μ and o². You may use that for a standard normal random variable Þ−¹(0.05) = −1.6449, where Þ denotes the CDF.
5. Suppose we have a risky asset with random return R. We have defined R to be, S₁ - So So R = In = Now we introduce the log-return, which is defined as R = assume that R~ N(u, o²) where μ = 0 and o² = 0.1. µ (i) Show that ReR - 1. = So In this question, (ii) Calculate VaR0.95 for an investment of £150. Remember that if X ~ N(μ,0²) then eis lognormally distributed with parameters μ and o². You may use that for a standard normal random variable Þ−¹(0.05) = −1.6449, where Þ denotes the CDF.
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question
![5. Suppose we have a risky asset with random return R. We have defined R to be,
S₁ - So
So
R =
In
=
Now we introduce the log-return, which is defined as R =
assume that R~ N(u, o²) where μ = 0 and o² = 0.1.
µ
(i) Show that ReR - 1.
=
So
In this question,
(ii) Calculate VaR0.95 for an investment of £150. Remember that if X ~ N(μ,0²)
then eis lognormally distributed with parameters μ and o². You may use that
for a standard normal random variable Þ−¹(0.05) = −1.6449, where Þ denotes the
CDF.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F69cce4ac-4bf6-4e6b-8636-bf160e045b58%2Fd5a2f2e6-39d7-4058-bf63-ee775bda3bec%2Fgl5rqwv_processed.jpeg&w=3840&q=75)
Transcribed Image Text:5. Suppose we have a risky asset with random return R. We have defined R to be,
S₁ - So
So
R =
In
=
Now we introduce the log-return, which is defined as R =
assume that R~ N(u, o²) where μ = 0 and o² = 0.1.
µ
(i) Show that ReR - 1.
=
So
In this question,
(ii) Calculate VaR0.95 for an investment of £150. Remember that if X ~ N(μ,0²)
then eis lognormally distributed with parameters μ and o². You may use that
for a standard normal random variable Þ−¹(0.05) = −1.6449, where Þ denotes the
CDF.
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