Question: Problem 7.27 A portfolio has a weekly return of = 0.003 and weekly volatility of = 0.06. The current value of the portfolio

Problem 7.27 A portfolio has a weekly return of µ = 0.003 and weekly volatility of σ = 0.06. The current value of the portfolio is $100,000.

(a) Find the 99% VaR (rounded to the nearest dollar) for a one week period.

(b) Find the 99% VaR (rounded to the nearest dollar) for a two week period.

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