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4905数理金融中等数值题short

Worst-Case Hedge Design 15

题目

Desk A has scenario losses [5, 3, 1, 4] and desk B has [1, 2, 0, 3]. Under rho(L)=max scenario loss, a hedge pays h only in scenario 4. What minimum h makes the combined capital drop from 7 to 6?

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