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A hedge fund portfolio has an expected return of 0.1 percent per day and a 5 percent probability 1-day value at risk (VAR) of $909. Which of the following statement is the best descriptor of this information? A. The maximum daily loss on the portfolio is $909. B. The minimum loss for the worst 5% of the days is $909. C. The portfolio will earn more than $909 only 5% of the time. D. The minimum daily loss on the portfolio is $909. |