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%

---

Definitions:

Profit-maximizing

The process or strategy of adjusting production and pricing to achieve the highest possible profit.

Units of Output

A measure of production output, quantifying the total amount of goods or services produced.

Marginal Revenue

The additional revenue that is generated by selling one more unit of a product or service.

Profit-maximizing

A strategy where firms set output and price levels to yield the highest possible profit.