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

Name: 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
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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 = .96 - 1.645(.123) = -10.634 percent

Your Portfolio Has a Standard Deviation of 12