Value-at-Risk Theory and Practice
The first advanced book on value-at-risk
Chapter 3, Page 113 Exercise 9
In general, for any random variable X and any constant a, std(X + a) = . Prove this result for the case X is continuous. Use your result from Exercise 3.7.
Solution
By [3.7] and the result of Exercise 3.7,
[s1]
Accordingly,
[s6]
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. Prove this result for the case X
is continuous. Use your result from
