A $500,000 stock portfolio has an annual expected return of 13% and a standard d
ID: 2812067 • Letter: A
Question
A $500,000 stock portfolio has an annual expected return of 13% and a standard deviation of 38%. What is the portfolio Value at Risk (VaR) at a 5% probability level? (Note: From Excel: =Norminv (0.05,0,1) = -1.64485 standard deviations)
-$227,850
-$212,250
-$250,000
-$247,522
-$272,150
Opponents of the EMH (Efficient Market Hypothesis) typically advocate __________.
A risk-taking investment strategy
A passive investment strategy
A conventional investment strategy
A liberal investment strategy
An active investment strategy
A.-$227,850
B.-$212,250
C.-$250,000
D.-$247,522
E.-$272,150
Explanation / Answer
ANSWER: D. ($ 247522) VaR= Expected Return+(-1.64485*Std. Devn.) ie.=0.13+(-1.64485*0.38) -49.5043% VaR $=500000*-0.495043 -247522 Opponents of the EMH (Efficient Market Hypothesis) typically advocates A liberal investment strategy (As EMH assumes a passive investment strategy )
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