Which of the following measures of risk best highlights the potential loss from extreme negative returns?
A)Standard deviation
B)Variance
C)Upper partial standard deviation
D)Value at Risk (VaR)
E)None of the above

Question

Quizplus · Accepted Answer

Value at Risk (VaR) is a measure that estimates the potential loss in value of an investment over a given time period at a specified confidence level. It highlights the potential loss from extreme negative returns, which makes it the best choice for this scenario. Standard deviation and variance only measure the dispersion of returns around the mean, while upper partial standard deviation only considers the potential loss above a specified threshold, but does not account for extreme events.

Which of the Following Measures of Risk Best Highlights the Potential