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]

[s2]

 

 

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