You Are a Very Conservative Investor and Thus Want to Keep

Multiple Choice

You are a very conservative investor and thus want to keep a low risk portfolio. Which one of the following VaR measures would be best for your investment goal?

A) Prob (R_p $\le$ -0.09) = 100%
B) Prob (R_p $\le$ -0.09) = 50%
C) Prob (R_p $\le$ -0.09) = 25%
D) Prob (R_p $\le$ -0.09) = 10%
E) Prob (R_p $\le$ -0.09) = 1%