DW Co. stock has an annual return mean and standard deviation of 15 percent and 36 percent,...

Question:

DW Co. stock has an annual return mean and standard deviation of 15 percent and 36 percent, respectively. What is the smallest expected loss in the coming year with a probability of 5 percent? (Negative amounts should be indicated by a minus sign. Round your answer to 2 decimal places.Omit the "%" sign in your response.)

Value at Risk:

Value at Risk (VaR) is a probabilistic method of measuring expected or potential loss over the given time horizon and for a given confidence level. For instance, 1-day 95% VaR is X%. It means that over 1 day period, portfolio incurs expected loss X% or more, 5% of the time. In other words, Over 1 day period, portfolio incurs expected loss X% or less, 95% of the time.

Minimum expected loss in the coming year is 44.21%, 5% of the time.

Or, maximum expected loss in the coming year is 44.21%, 95% of the time.

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