Michelle's current portfolio composition: $3M on MSFT, $3M on FB, $6M on AXP and $12M on AAPL. The mean returns of MSFT, FB, AXP and AAPL were 8%, 11%, 10% and 15% respectively The variance of returns of MSFT, FB, AXP and AAPL were 20%, 25%, 15% and 23% respectively The co-variance between MSFT and FB returns was 4% The co-variance between MSFT and AXP returns was 6% The co-variance between MSFT and AAPL returns was 8% The co-variance between FB and AXP returns was 5% The co-variance between FB and AAPL returns was 3% The co-variance between AXP and AAPL returns was 2% .

Calculate Value-at-Risk of the portfolio at 99% confidence level (1% VaR)

Answer rating: 100% (QA)

To calculate the ValueatRisk VaR of the portfolio at 99 confidence level we need to follow these ste... View the full answer