Your portfolio is worth $200,000.The standard deviation of its annual returns is 0.20 and the expected return is 11.0%.What is the 2-week value at risk at a 95% confidence level?
A) $12,058
B) $13,058
C) $14,058
D) $15,058

Question

Quizplus · Accepted Answer

The 2-week VaR at a 95% confidence level can be calculated using the formula: VaR = Portfolio Value * Z-score * Standard Deviation * sqrt(Time Period). For a 95% confidence level, the Z-score is 1.645. The time period is 2 weeks, or 2/52 years. VaR = $200,000 * 1.645 * 0.20 * sqrt(2/52) = $12,058.

Your Portfolio Is Worth $200,000