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

question 86

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%

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