FRM二级精选题型解析:A portfolio manager determines

A portfolio manager determines that his portfolio has an expected return of $20,000 and a standard deviation of $45,000.

Given a 95 percent confidence level, what is the portfolio's VAR?

A) $43,500.

B) $74,250.

C) $94,250.

D) $54,250.

自己先做~

做完之后滑这儿,就能对答案





 


 
 
D was incorrect.
 
The expected outcome is $20,000. Given the standard deviation of $45,000 and a z-score of 1.65 (95% confidence level for a one-tailed test), the VAR is –54,250 [=20,000 – 1.65 (45,000)].

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