Value-at-Risk Theory and Practice
The first advanced book on value-at-risk
Chapter 03, Page 113 Exercise 8
In general, for any random variable X and any constant b, std(bX) = , where indicates the absolute value of b. Prove this result for the case X is discrete. Use your result from Exercise 3.6.
Solution
By [3.7] and the result of Exercise 3.6,
[s1]
Accordingly,
[s6]
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, where
indicates the absolute value of b. Prove this result
for the case X is discrete. Use your result from
