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Which One of the Following Value-At-Risk Measures Would Be Most

Question 12

Multiple Choice

Which one of the following Value-at-Risk measures would be most appropriate for a portfolio designed for a very risk-adverse investor?


A) Prob (Rp ≤ − .20) = 100%
B) Prob (Rp ≤ − .15) = 50%
C) Prob (Rp ≤ − .10) = 25%
D) Prob (Rp ≤ − .10) = 10%
E) Prob (Rp ≤ − .05) = 1%

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