Which one of the following Value-at-Risk measures would be most appropriate for a portfolio designed for a very risk-adverse investor? A)Prob (R_p ≤ − .20)= 100% B)Prob (R_p ≤ − .15)= 50% C)Prob (R_p ≤ − .10)= 25% D)Prob (R_p ≤ − .10)= 10% E)Prob (R_p ≤ − .05)= 1%

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A very risk-adverse investor would prefer a higher probability of avoiding losses. Option E, with a probability of 1%, would be the most appropriate Value-at-Risk measure for this investor.

Which One of the Following Value-At-Risk Measures Would Be Most