Question
The SPDR (Standard & Poor 500) ETF has average annual return of 1.5% and standard deviation of 9.1%. If you invest $10,000 in the SPDR,
The SPDR (Standard & Poor 500) ETF has average annual return of 1.5% and standard deviation of 9.1%. If you invest $10,000 in the SPDR, what is the maximum annual loss you can expect with 99% confidence (note: a 99% level of confidence equates 2.576) [that is, the Value-at-Risk @1% quantile]?
| $100 | ||
| $257.60 | ||
| $2,344.16 | ||
| $2,194.16 |
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Corporate Finance
Authors: Jonathan Berk, Peter DeMarzo
5th Global Edition
1292304154, 978-1292304151
