A portfolio has an expected annual return of 15.7 percent and a standard deviation of 19.6 percent.What is the smallest expected loss over the next calendar quarter given a probability of 1 percent?
A) −15.11 percent
B) −16.23 percent
C) −16.49 percent
D) −18.08 percent
E) −18.87 percent

Question

Quizplus · Accepted Answer

Smallest loss = (0.157 × 0.25) − 2.326 × (0.196 × √0.25) = −18.87 percent

A Portfolio Has an Expected Annual Return of 15