Question
What is the VaR (%) of a $10 million portfolio with normally distributed returns at the 3% VaR? Assume the expected return is 12% and
What is the VaR (%) of a $10 million portfolio with normally distributed returns at the 3% VaR? Assume the expected return is 12% and the standard deviation is 15%. (Use Excel function "=NORMSINV()" to compute Z-score)
a.-19.90%
b.-31.53%
c.-16.21%
d.-325.98%
Having a hard time to compute this. I keep getting incorrect error.
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Entrepreneurial Finance
Authors: J. Chris Leach, Ronald W. Melicher
6th edition
1305968352, 978-1337635653, 978-1305968356
