Question: 1 7 . Value - at - Risk ( VaR ) Statistic ( LO 4 , CFA 2 ) Your portfolio allocates equal amounts to

17 .

Value

-

-

Risk

(

VaR

)

Statistic

(

4,

CFA

2)

Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual return of

14

percent. Annual return standard deviations for these three stocks are

30

percent,

40

percent, and

50

percent. The return correlations among all three stocks are zero. What is the smallest expected loss for your portfolio in the coming year with a probability of

1

percent?

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