Problem 13 17 Value at Risk (VaR) Statistic (L04, CFA6) Your portfolio allocates equal amounts to three stocks All three stocks have the same mean annual return of 12 percent Annual return standard deviations for these three stocks are 27 percent, 37 percent, and 47 percent The return correlations among all three stocks are zero What is the smallest expected loss for your portfolio in the coming year with a probability of 5 percent (A negative value should be indicated by a minus sign Do not round intermediate calculations Round the Z score value to 3 decimal places when calculating your answer Enter your answer as a percent rounded to 2 decimal places ) Smallest expected loss look

Question

Problem 13 17 Value at Risk (VaR) Statistic (L04, CFA6) Your portfolio allocates equal amounts to three stocks  All three stocks have the same mean annual return of 12 percent  Annual return standard deviations for these three stocks are 27 percent, 37 percent, and 47 percent  The return correlations among all three stocks are zero  What is the smallest expected loss for your portfolio in the coming year with a probability of 5 percent  (A negative value should be indicated by a minus sign  Do not round intermediate calculations  Round the Z score value to 3 decimal places when calculating your answer  Enter your answer as a percent rounded to 2 decimal places ) Smallest expected loss look

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Problem 13-17 Value-at-Risk (VaR) Statistic (L04, CFA6) Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual return of

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