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What is the VaR of a portfolio with normally distributed returns at the 5% VaR?Assume the expected return is 15% and the vari

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Answer #1

Solution.>

z value for 5% = 1.645

Var= Expected return - z vaue*SD
=15-(1.645*sqrt(0.04)) { SD = Sqrt(Variance) }
=14.92%

Hence Var is 14.92%. The correct option is (B).

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