The Value-at-Risk measure assumes which one of the following?
A)returns are normally distributed
B)portfolios lie on the efficient frontier
C)all portfolios are fully diversified
D)returns tend to follow repetitive patterns
E)the risk premium is constant over time

Question

Quizplus · Accepted Answer

The Value-at-Risk measure assumes that returns are normally distributed. This assumption allows for the calculation of the probability of losses exceeding a certain amount, based on the standard deviation of returns.

The Value-At-Risk Measure Assumes Which One of the Following