Your portfolio has a standard deviation of 12.3 percent and an average return of 9.6 percent.You have a 5 percent probability of losing ________ percent or more in any given year.
A) −33.79
B) −31.54
C) −12.59
D) −10.63
E) −3.34

Question

Your portfolio has a standard deviation of 12.3 percent and an average return of 9.6 percent.You have a 5 percent probability of losing ________ percent or more in any given year. 
A) −33.79 
B) −31.54 
C) −12.59 
D) −10.63 
E) −3.34

Quizplus · Accepted Answer

Loss percent = 0.96 − 1.645 (0.123) = −10.634 percent

Your Portfolio Has a Standard Deviation of 12