博迪投资学第八Chap005.docVIP

Chapter 5 Risk and Return: Past and Prologue The 1% VaR will be less than -30%. As percentile or probability of a return declines so does the magnitude of that return. Thus, a 1 percentile probability will produce a smaller VaR than a 5 percentile probability. The geometric return represents a compounding growth number and will artificially inflate the annual performance of the portfolio. No. Since all items are presented in nominal figures, the input should also use nominal data. Decrease. Typically, standard deviation exceeds return. Thus, a reduction of 4% in each will artifici