Risk Mgmt - Reading 39 EOCQ opposite, reading, however, return

jmh530

Hi all
Under reading 39, Question 23. I thought the answer is C, however it turns out to be B.
If VAR = [Rp - (z)(Standard Deviation)]Value
Then wouldn’t:
increasing return = increasing VAR, and
increasing st.dev = decreasing VAR
???
The book says it is the opposite, clearly i am missing somthing. Please help me out!