Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 2, Page 78
Exercise 12

Repeat Exercise 2.11 assuming c is negative semidefinite.

Solution

A solution with infinitely many maxima is

One with no maxima is

 
 

website: http://www.contingencyanalysis.com
value-at-risk direct link: http://www.value-at-risk.net
copyright © Contingency Analysis, 2003