Which one of the following correctly states the VaR for a 3-year period with a 2.5% probability?
A) Prob[Rp,T ≤ E(Rp) × 3 − 1.645 × σp √3]
B) Prob[Rp,T ≤ E(Rp) × √3 − 1.645 × σp 3]
C) Prob[Rp,T ≤ E(Rp) × √3 − 1.645 × σp √3]
D) Prob[Rp,T ≤ E(Rp) × 3 − 1.960 × σp √3]
E) Prob[Rp,T ≤ E(Rp) × √3 − 1.960 × σp 3]
Correct Answer:
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