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Value at Risk section
I removed this section from article:
López de Prado and Peijan (2008) have shown that Value at Risk substantially underestimates an investment's loss potential when its returns are incorrectly assumed to iid follow a Normal Distribution.
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Please define variables
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- López de Prado and Peijan (2008): "Measuring the Loss Potential of Hedge Fund Strategies", Journal of Alternative Investments (7)1, 7-31. http://ssrn.com/abstract=641702