Which One of the Following Correctly States the VaR for a 3-Year

Multiple Choice

Which one of the following correctly states the VaR for a 3-year period with a 2.5% probability?

A) Prob[R_p,T ≤ E(R_p) × 3 − 1.645 × σ_p √3]
B) Prob[R_p,T ≤ E(R_p) × √3 − 1.645 × σ_p 3]
C) Prob[R_p,T ≤ E(R_p) × √3 − 1.645 × σ_p √3]
D) Prob[R_p,T ≤ E(R_p) × 3 − 1.960 × σ_p √3]
E) Prob[R_p,T ≤ E(R_p) × √3 − 1.960 × σ_p 3]