Solution Found!

Statistics / Introduction to Probability and Statistics for Engineers and Scientists 5 / Chapter 5 / Problem 33

Introduction to Probability and Statistics for Engineers and Scientists | 5th Edition | ISBN: 9780123948113 | Authors: Sheldon M. Ross

Change Question

Value at risk (VAR) has become a key concept in financial

Chapter , Problem 33

(choose chapter or problem)

Get Unlimited Answers

QUESTION:

Value at risk (VAR) has become a key concept in financial calculations. The VAR of an investment is defined as that value v such that there is only a 1 percent chance that the loss from the investment will exceed v. (a) If the gain from an investment is a normal random variable with mean 10 and variance 49, determine the value at risk. (If X is the gain, then X is the loss.) (b) Among a set of investments whose gains are all normally distributed show that the one having the smallest VAR is the one having the largest value of 2.33, where and 2 are the mean and variance of the gain from the investment.

Questions & Answers

QUESTION:

Value at risk (VAR) has become a key concept in financial calculations. The VAR of an investment is defined as that value v such that there is only a 1 percent chance that the loss from the investment will exceed v. (a) If the gain from an investment is a normal random variable with mean 10 and variance 49, determine the value at risk. (If X is the gain, then X is the loss.) (b) Among a set of investments whose gains are all normally distributed show that the one having the smallest VAR is the one having the largest value of 2.33, where and 2 are the mean and variance of the gain from the investment.

ANSWER:

Step 1 of 2

a)

Let be the normal random variable that represents the gain from an investment, . Now we know is the loss so we can caluclate:

Now looking at the table we see that so:

Study Tools You Might Need

Chapter: 27 Problem: 91GP

Physics with MasteringPhysics 4
Problem 91GP Pricey Stamp A rare 1918 Jenny stamp, depicting a misprinted, upside-down Curtiss JN-4 Jenny airplane, sold at auction for $525,000. A collector uses a simple magnifying glass to examine the Jenny, obtaining a linear magnification of 2.5 when the stamp is held 2.76 cm from the lens. What

Chapter: 6 Problem: 43P

Principles of General Chemistry 2
How many grams of phosphorus react with \(35.5 L\) of \(\mathrm{O}_{2}\) at STP to form tetraphosphorus decaoxide? \(\mathrm{P}_{4}(\mathrm{~s})+5 \mathrm{O}_{2}(\mathrm{~g}) \rightarrow \mathrm{P}_{4} \mathrm{O}_{10}(\mathrm{~s})\) Equation Transcription: O2 Text Transcription:

Chapter: 0 Problem: 5

Biology 8
Where are neurotransmitter receptors located? a. on the nuclear membrane b. at nodes of Ranvier c. on the postsynaptic membrane d. on the membranes of synaptic vesicles e. in the myelin sheath

Chapter: 1 Problem: 25

Organic Chemistry, 6
Draw a Lewis structure for each of the following molecules and assign charges where appropriate. The order in which the atoms are connected is given in parentheses. O (a) ClF (b) BrCN (c) SOCl2(ClSCl) (d) CH3NH2 (e) CH3OCH3 (f) N2H2 (HNNH) (g) CH2CO (h) HN3 (HNNN) (i) N2O (NNO)

Chapter: 7 Problem: 7.76

Chemistry 13
The ground-state electron configurations listed here are incorrect. Explain what mistakes have been made in each and write the correct electron configurations. Al:\(1s^2 2s^2 2p^4 3s^2 3p^3\) B: \(1s^2 2s^2 2p^5\) F: \(1s^2 2s^2 2p^6\)

Chapter: 22 Problem: 9

Principles of Economics 9
The experiment called the ultimatum game illustrates that people a. play the Nash equilibrium in strategic situations. b. are motivated by the desire for instant gratification. c. care about fairness, even to their own detriment. d. make decisions that are inconsistent over time.

Chapter: 3 Problem: 7

Physical Science 11
The forms of energy are the result of fundamental forces gravitational, electromagnetic, and nuclearand objects that are interacting. Analyze which force is probably involved with each form of energy.

Chapter: 8 Problem: 120

Introductory Chemistry: A Foundation 9
The percent by mass of nitrogen is 46.7% for a species containing only nitrogen and oxygen. Which of the following could be this species? a. \(\mathrm{N}_{2} \mathrm{O}_{5}\) b. \(\mathrm{N}_{2} \mathrm{O}\) c. \(\mathrm{NO}_{2}\) d. NO e. \(\mathrm{NO}_{3}\)

Not The Solution You Need? Search for Your Answer Here:

×

Login

Login or Sign up for access to all of our study tools and educational content!

×

Register

Sign up for access to all content on our site!

Or login if you already have an account