ZuoTi.Pro
Question

Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx and density fx, and let c>O. Verify that for the Value-at-Risk we have VaR,x (p) = cVaRx (p)c can be any number, cVaR does not mean conditional value at risk. Hence, please just prvoe the positively homogeneous property of VaR.

math   Statistics-And-Probability   
0 0
Add a comment Improve this question Transcribed image text
Next > < Previous
Sort answers by oldest

Homework Answers

Answer #1

Theorem 1 (Positive Homogeneity) Let ξ be an uncertain variable. Ifc > 0, then (c5)VaR(aVaR(a). Proof. When c > 0, we have (c)VaR(a)inf r 2 a) - cVaR(a)

0 0
Add a comment
Know the answer?
Add Answer to:
c can be any number, cVaR does not mean conditional value at risk. Hence, please just...
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for? Ask your own homework help question. Our experts will answer your question WITHIN MINUTES for Free.
Similar Homework Help Questions

  • c is any number, so cVaR does not mean conditional value at risk Q1. Assume that...

    c is any number, so cVaR does not mean conditional value at risk Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx and density fx, and let c>O. Verify that for the Value-at-Risk we have VaR,x (p) = cVaRx (p)

  • Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function...

    Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx and density fx, and let c>O. Verify that for the Value-at-Risk we have VaR,x (p) = cVaRx (p)

  • Just need help on part C lt the 1980s it was generally believed that con ental...

    Just need help on part C lt the 1980s it was generally believed that con ental abnormalities affected about 7% o a large nation's children. Some people believe that the increase in the number o chemicals in the environment has led to an increase in the incidence o abnormalities. A recent study examined 448 randomly selected children and fund that 51 o them sho ed signs of an abnormality. Is this strong evidence that the risk has in ea ?...

  • Can someone please help me with this? I have been trying to solve it and I...

    Can someone please help me with this? I have been trying to solve it and I am now on my last attempt and I don't know what I am doing wrong Home Read, Study & Practice Gradebook ORION Downloadable eTextbook Assignment> Open Assignment CALCULATOR FULL SCREEN PRINTER VERSION BACK NEXT ASSIGNMENT RESOURCES Ch. 6.Homework Your answer is incorrect. Try again Practice Exercise 6- What is the future value of $29,000 at the end of 5 periods at 11% compounded interest?...

  • can someone please help me! I am so lost AutoSave $ u- Capital Budgeting Assignment FNCE...

    can someone please help me! I am so lost AutoSave $ u- Capital Budgeting Assignment FNCE 301 119 template-Saved to my Mac Home Insert Draw Page Layout Formulas Data Review View Developer Share Comments 2! Insert Times New Roman 10 A A = = = D 2Wraa Text General E AY-O. 4 Delete 2 Conditional Format Call Sort & Sensitivity Pesce Find & a Ideas B B IU E E B Merge & Center A $ - % Formatting as...

ADVERTISEMENT
Free Homework Help App
Download From Google Play
Scan Your Homework
to Get Instant Free Answers
Need Online Homework Help?
Ask a Question
Get Answers For Free
Most questions answered within 3 hours.
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT