Which one of the following correctly states the VaR for a 3-year period with a 2.5 percent probability?
A. Prob[Rp,T ? E(Rp) × ?3 - 1.645 × ?p ?3]
B. Prob[Rp,T ? E(Rp) × 3 - 1.960 × ?p ?3]
C. Prob[Rp,T ? E(Rp) × ?3 - 1.960 × ?p 3]
D. Prob[Rp,T ? E(Rp) × 3 - 1.645 × ?p ?3]
E. Prob[Rp,T ? E(Rp) × ?3 - 1.645 × ?p 3]
Answer: B
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