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%
Correct Answer:
Verified
Correct Answer:
Verified
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