Which of the Following Is Approximately the Value at Risk

question 6

Multiple Choice

Which of the following is approximately the Value at Risk at 5 percent of a portfolio of $10 million of asset A,whose expected return is 15 percent and volatility is 35 percent,and $15 million of asset B,whose expected return is 21 percent and volatility is 30 percent,where the correlation between the two assets is 0.2.

• A)$5.6 million
• B)$10 million
• C)$15 million
• D)$1.25 million
• E)none of the above

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Definitions:

Radio Company

An organization involved in broadcasting audio content via radio waves to reach a wide audience.

Sony Music

An international music company, part of the Sony Corporation, that operates as a record label for a wide variety of artists.

Warner Music Group

A major global music company involved in the discovery, development, and dissemination of recorded music and publishing rights.

Universal Music Group

A global music corporation that operates a array of businesses engaged in recorded music, music publishing, and merchandising.