Question $5$

An investor wishes to measure the investment risk presented by an asset which has the

following distribution:

$($i$)$ Evaluate three different measures of investment risk for this asset. Where

necessary, you may assume a benchmark return of $8\%.(06$ marks$)$

$($ii$)($a$)$ State two key properties of Value at Risk $($VaR$).(04$ marks$)$

$($b$)$ VaR is frequently calculated assuming a normal distribution of returns.

State an advantage and a disadvantage of this approach. $(05$ marks$)$