A Portfolio Has a Current Value of $1000 $X$ Is Distributed Normally with Mean 100 and Standard Deviation 100

question 1

Multiple Choice

A portfolio has a current value of $1000. The annual profit $X$ is distributed normally with mean 100 and standard deviation 100. How much capital is adequate for the portfolio at a 95%-VaR?

• A) \(- 133\)
• B) \(- 65\)
• C) \(65\)
• D) \(133\)

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