Explanation:
The standard deviation of the sample mean, commonly known as the standard error of the mean, is calculated by dividing the standard deviation of the population by the square root of the sample size.
Standard Error Standard Error = \\frac{20\\%}{\\sqrt{28}} = \\frac{20\\%}{5.2915} \\approx 3.7796\\%
The closest answer is 3.78%.
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Q.68 A risk manager calculates the VaR of a fund based on a sample of 28 weekly returns. This return series has a mean return of 8% and a standard deviation of 20%. Assuming that weekly returns are independent and identically distributed, determine the standard deviation of the mean weekly return.
A
3.78%.
B
0.71%.
C
0.85%.
D
1.51%.
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