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Suppose a portfolio of risky assets has an expected return of 5.57% [E(r) = 0.0557] and a standard deviation of 20.33% [? = 0.2033]. For the questions below assume normal distribution. Use the “Standard Normal Distribution Table” provided in CROPS under “Excel Files” to answer the questions.

a) What is the probability that the portfolio will fall by more than 15% this year?

b) What is the probability that the portfolio will rise by more than 30% this year?

c) What is the 5% Value of Risk (VaR) of this portfolio?

Microeconomics, Economics

  • Category:- Microeconomics
  • Reference No.:- M91234503

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