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

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 (R_p ≤ − 0.20) = 100%
B) Prob (R_p ≤ − 0.15) = 50%
C) Prob (R_p ≤ − 0.10) = 25%
D) Prob (R_p ≤ − 0.10) = 10%
E) Prob (R_p ≤ − 0.05) = 1%