The expected return of GM is 8.5%. The expected volatility of GM is 0.200. What is...

The expected return of GM is 8.5%. The expected volatility of GM is 0.200. What is the VaR(0.05) of GM?

a. -10.23%

b. -8.33%

c. -29.10%

d. -24.39%

Expert Solution

VAR = Expected Return - Standev(N^-1)

For VaR(0.05)

VaR = 0.085 - 0.20(N^-1)

VaR = 0.085 - 0.20(1.64)

VaR = -24.39%

jeff jeffy answered 2 years ago

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