A portfolio has a standard deviation of 15.8 percent and an average return of 14.2 percent.What loss is associated with a 2.5 percent probability?
A)-12.03 percent
B)-14.87 percent
C)-16.77 percent
D)-17.38 percent
E)-19.36 percent

Question

A portfolio has a standard deviation of 15.8 percent and an average return of 14.2 percent.What loss is associated with a 2.5 percent probability? 
A)-12.03 percent 
B)-14.87 percent 
C)-16.77 percent 
D)-17.38 percent 
E)-19.36 percent

Quizplus · Accepted Answer

Loss percent = .142 - 1.96(.158) = -16.77 percent

A Portfolio Has a Standard Deviation of 15