The Mathematics of Value-at-Risk
U = . Then E[α1X1 + α2X2 +…+ αnXn] = KTU = E[] = α1E[X1] + α2E[X2] + α3E[X3] +…+ αnE[αnXn] = , agreeing with the definition on page 3. E[] can be thought of as the expected return of a portfolio of financial assets Xi, where αi is the proportion of the portfolio invested in asset Xi. Assuming the expected return of each asset and ... ................
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