In: Economics
An investor wishes to measure the investment risk presented by an asset which has the following distribution:
State Return Probability
1 10% 0.5
2 20% 0.3
3 50% 0.2
(i) Evaluate any three different measures of investment risk for this asset. Where necessary, you may assume a benchmark return of 25%.
(ii) State two key properties of Value at Risk (VaR).