
Explanation:
We divide the standard deviation of the return series by the square root of the sample size to find the standard deviation of the mean weekly returns. That is,
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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%.