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

question 35

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%

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