Problem Set 1

A what is the var at level 1 b what is the var at

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Unformatted text preview: riance criterion? [Hint: You may want to use Excel to calculate the criterion for different numbers of projects N=0,1,2,3,4,5,…]. Question 3. Consider the automobile accident example presented in class (see Lecture 1 slides). a) What is the VaR at level 1%? b) What is the VaR at level 5%? On parts (c) and (d), suppose that you want to maximize the mean ­variance 1 criterion E [ X ] " Var( X ) . 2 c) Would you want to...
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This note was uploaded on 02/03/2014 for the course INSR 205 taught by Professor Kent/smetters/nini during the Spring '09 term at UPenn.

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