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.

$$ VaR^{5\%}(0.5 X+ 0.5 Y) \approx 50 > 0.5 VaR^{5\%}(X) + 0.5 VaR^{5\%}(Y) = 0+0. $$

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