Tim Jones is *uating two mutual funds for an investment of $100,000. Mutual fund A has $20,000,000 in assets, an annual expected return of 14 percent, and an annual standard deviation of 19 percent. Mutual fund B has $8,000,000 in assets, an annual expected return of 12 percent, and an annual standard deviation of 16.5 percent. What is the daily value at risk (VAR) of Jones’ portfolio at a 5 percent probability if he invests his money in mutual fund A?
　　A. $1,668.
　　B. $13,344.
　　C. $1,924.
　　D. $38,480.
　　Answer:C
　　Daily standard deviation for mutual fund A = 0.19/√250= 0.012
　　Daily return = 0.14/250 = 0.00056
　　VAR = Portfolio Value [E(R)-zσ] = 100,000[0.00056 – (1.65)(0.012)] = -$1,924.