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Question 82/161
Alpha Bank estimates that the annualized standard deviation of its portfolio returns equal 30%; The daily volatility of the portfolio is closest to which of the following?
Correct Answer: A
To convert annualized volatility to daily volatility, we can use the formula: daily=annual252daily=252annual Given the annualized standard deviation (volatility) of the portfolio returns is 30%, we calculate the daily volatility as follows: daily=30%25230%15.871.89%daily=25230%15.8730%1.89% This value is closest to 1.0%, making option A the correct answer.
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