Example 4.4
May 16, 2017
Example 4.4 could be more clear, it is not strictly wrong, but could be better, i.e. have weights on the right side of the inequality, i.e.
$$ VaR^{5\%}(0.5 X+ 0.5 Y) \approx 50 > 0.5 VaR^{5\%}(X) + 0.5 VaR^{5\%}(Y) = 0+0. $$