Which One of the Following Correctly States the VaR for a 3-Year

question 14

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 ≤ E(R_p) × 3 - 1.645 × σ_p √3]
• B) Prob[R_p,T ≤ E(R_p) × √3 - 1.645 × σ_p 3]
• C) Prob[R_p,T ≤ E(R_p) × √3 - 1.645 × σ_p √3]
• D) Prob[R_p,T ≤ E(R_p) × 3 - 1.960 × σ_p √3]
• E) Prob[R_p,T ≤ E(R_p) × √3 - 1.960 × σ_p 3]

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Definitions:

Leaning Forward

A posture or approach that suggests active engagement or interest.

Best Managers

Characteristics or practices that distinguish highly effective leaders capable of enhancing team performance and achieving organizational goals.

Spend Most

To allocate or use a larger portion of a resource, typically time or money, on a particular thing more than others.

Listening

The active process of receiving, constructing meaning from, and responding to spoken or non-verbal messages.