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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
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 2.5760) [that is, the Value-at-Risk @1% quantile]?
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
