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Suppose a world has two risky assets: StkC and StkD. The following table shows the holding period returns in each scenario. Suppose the T-bill rate is 3%. Scenario Probability Return for StkC Return for StkD Severe recession 0.03 -40% -12% Mild Recession 0.02 -10% 10% Normal 0.9 10% 6% Mild growth 0.02 20% 8% Boom 0.03 60% -20%   Which answer is the closest value to the fifth-percentile value at risk (VaR) of holding StkC?     -40%     -10%     10%     20%     60%

Suppose a world has two risky assets: StkC and StkD. The following table shows the holding period returns in each scenario. Suppose the T-bill rate is 3%. Scenario Probability Return for StkC Return for StkD Severe recession 0.03 -40% -12% Mild Recession 0.02 -10% 10% Normal 0.9 10% 6% Mild growth 0.02 20% 8% Boom 0.03 60% -20%   Which answer is the closest value to the fifth-percentile value at risk (VaR) of holding StkC?     -40%     -10%     10%     20%     60%

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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  1. Suppose a world has two risky assets: StkC and StkD. The following table shows the holding period returns in each scenario. Suppose the T-bill rate is 3%.

    Scenario

    Probability

    Return for StkC

    Return for StkD

    Severe recession

    0.03

    -40%

    -12%

    Mild Recession

    0.02

    -10%

    10%

    Normal

    0.9

    10%

    6%

    Mild growth

    0.02

    20%

    8%

    Boom

    0.03

    60%

    -20%

     

    Which answer is the closest value to the fifth-percentile value at risk (VaR) of holding StkC?

       

    -40%
       

    -10%
       

    10%
       

    20%
       

    60%
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