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14) What is a simple methodology to calculate the value-at-risk (VAR) for the 1SI
percentile of a normal distribution? Provide a sentence that explains the output of a VAR
analysis. How is VAR similar and / or different from the Expected Shortfall and Sortino
Ratios? Based on the distributions outlined on page 144 of the teXt (and continued on
pages 145-147 8: 149), which asset portfolios would a longer term, risk neutral investor
choose to overweight and underweight in his / her portfolio? Why?

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