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 percent probability?

A) Prob[R_p,T $\le$ E(R_p) * 3 - 1.645 * $\sigma$ _p $\surd$ 3]
B) Prob[R_p,T $\le$ E(R_p) * $\surd$ 3 - 1.645 * $\sigma$ _p 3]
C) Prob[R_p,T $\le$ E(R_p) * $\surd$ 3 - 1.645 * $\sigma$ _p $\surd$ 3]
D) Prob[R_p,T $\le$ E(R_p) * 3 - 1.960 * $\sigma$ _p $\surd$ 3]
E) Prob[R_p,T $\le$ E(R_p) * $\surd$ 3 - 1.960 * $\sigma$ _p 3]