A stock has an annual standard deviation of 14.1 percent and an expected annual return of 11.5 percent.What is the smallest expected loss for the next 6 months given a probability of 2.5 percent?
A) −8.90 percent
B) −13.79 percent
C) −14.57 percent
D) −15.38 percent
E) −16.67 percent

Question

Quizplus · Accepted Answer

Smallest expected loss = (0.115 × 0.5) − 1.96 × (0.141 × √0.5) = −13.79 percent

A Stock Has an Annual Standard Deviation of 14