Value-at-Risk Theory and Practice
The first advanced book on value-at-risk
Chapter 3, Page 117 Exercise 13
Suppose X is a three-dimensional random vector with the parameters shown in Exhibit 3.5. Let Y = 10 + X1 + 3X2 – 2X3. Calculate the mean and standard deviation of Y using [3.27] and [3.28].
Solution
Applying [3.27] and [3.28], we obtain
[s1]
website: http://www.contingencyanalysis.com value-at-risk direct link: http://www.value-at-risk.net copyright © Contingency Analysis, 2003