9. Value-at-Risk (VaR) Statistic (LO4, CFA6) Your portfolio allocates equal funds to the DW Co. and Woodpecker, Inc., stocks referred to in Problems 7 and 8. The return correlation between DW Co. and Woodpecker, Inc., is zero. What is the smallest expected loss for your portfolio in the coming month with a probability of 2.5 percent? Chapter 13 Question 9 Input Area: Stock A Annual return Standard deviation 0.00% 164.49% Stock B Annual return Standard deviation 0.00% 1.50% Stock A weight Correlation Probability 50% 0 2.50% Output Area: Annual portfolio return ?? Annual standard deviation ?? Monthly return ?? Monthly standard deviation ?? z-value 1.960 Smallest expected loss