What Is the VaR of a $10 Million Portfolio with Normally

question 4

Multiple Choice

What is the VaR of a $10 million portfolio with normally distributed returns at the 5% VaR? Assume the expected return is 13% and the standard deviation is 20%.

• A) 13%
• B) -13%
• C) 19.90%
• D) -19.90%

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