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What is the portfolio expected shortfall

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Problem 1: A portfolio has a 95% certainty that it won't lose more than $50,000 in a given day. On the big loss days, there is a 30% chance the portfolio will lose $50,000 and a 70% chance it will lose $75,000. What is the portfolio's expected shortfall?

Option 1: ES_0.95=$67,500

Option 2: ES_0.05 = $67,500

Option 3: ES_0.95 = $57,500

Option 4: ES_0.05 = $57,500

Reference no: EM132900085

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