Lester has a portfolio with an average return of 12.8 percent and a standard deviation of 9.1 percent.He has a one percent probability of losing _____ percent or more in any given year.
A)-33.97
B)-38.87
C)-20.67
D)-5.04
E)-8.37

Question

Lester has a portfolio with an average return of 12.8 percent and a standard deviation of 9.1 percent.He has a one percent probability of losing _____ percent or more in any given year. 
A)-33.97 
B)-38.87 
C)-20.67 
D)-5.04 
E)-8.37

Quizplus · Accepted Answer

Loss percent = .128 - 2.326(.091) = -8.37 percent

Lester Has a Portfolio with an Average Return of 12