Which one of the following Value-at-Risk measures would be most appropriate for a portfolio designed for a very risk-adverse investor?
A)Prob (Rp ≤ - .20) = 100%
B)Prob (Rp ≤ - .15) = 50%
C)Prob (Rp ≤ - .10) = 25%
D)Prob (Rp ≤ - .10) = 10%
E)Prob (Rp ≤ - .05) = 1%

Question

Quizplus · Accepted Answer

A very risk-averse investor would prefer a portfolio with a very low probability of experiencing a significant loss, which is represented by the lowest probability of loss at a smaller threshold, as in option E.

Which One of the Following Value-At-Risk Measures Would Be Most