Lester has a portfolio with an average return of 13.5 percent and a standard deviation of 14.5 percent.He has a one percent probability of losing ________ percent or more in any given year.
A) −33.97
B) −38.87
C) −20.23
D) −5.04
E) −8.37

Question

Lester has a portfolio with an average return of 13.5 percent and a standard deviation of 14.5 percent.He has a one percent probability of losing ________ percent or more in any given year. 
A) −33.97 
B) −38.87 
C) −20.23 
D) −5.04 
E) −8.37

Quizplus · Accepted Answer

Loss percent = 0.135 − 2.326 (0.145) = −20.23 percent

Lester Has a Portfolio with an Average Return of 13