Same expected return and the same variance of returns

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Consider two investments. The two investments have the same expected return and the same variance of returns. However, the return of the first investment is normally distributed, while the return of the second investment follows a distribution with fat tails. If you compute the 5% VaR of the first investment and the 10% VaR of the second investment, which VaRs is larger? Explain briefly.

Reference no: EM131458700

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