Assume you have an investment with an expected return of 6% and a variance of 9%. Assuming normality, what is the 5% VaR? Select the answer closest to the correct answer. -0.432 -0.0876 5% VaR E[r] - 1.64 sigma. The sigma would be the square root of 9%. -1.416 -1.705

Assume you have an investment with an expected return of 6% and a variance of 9%. Assuming normality, what is the 5% VaR? Select the answer closest to the correct answer. 0.432 0.0876 5%VaR=E[r]1.64 *sigma.\ The sigma would be the square root of 9%. 1.416 1.705