Virginia Tech FIN FIN MISC The current value of a portfolio is $23 million.Scenario analysis…
The current value of a portfolio is $23 million.Scenario analysis produces an expected return of 30.7%, a standard deviation of 36.7% and an empirical value at risk (VaR) at the 5% level of -56.5%. A value that is 1.64485 standard deviations below the mean in a normal distribution corresponds to a VaR of 5%. Which of the following statements accurately characterizes the portfolio:
a. The VaR under the normal distribution is -29.67% and the distribution does not appear to be normal.
b. The VaR under the normal distribution is -25.1% and the distribution appears to be normal.
c. The VaR under the normal distribution is -19.8% and the distribution does not appear to be normal.
d. The VaR under the normal distribution is -29.67% and the distribution appears to be normal.
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