A portfolio has a standard deviation of 15.8 percent and an average return of 14.2 percent.What loss is associated with a 2.5 percent probability?

A) −12.03 percent
B) −14.87 percent
C) −16.77 percent
D) −17.38 percent
E) −19.36 percent

Question

A portfolio has a standard deviation of 15.8 percent and an average return of 14.2 percent.What loss is associated with a 2.5 percent probability?

A) −12.03 percent 
B) −14.87 percent 
C) −16.77 percent 
D) −17.38 percent 
E) −19.36 percent

Quizplus · Accepted Answer

Loss percent = 0.142 − 1.96 (0.158) = −16.77 percent

A Portfolio Has a Standard Deviation of 15