Question: A $100,000 portfolio containing two stocks has an expected return of 0.1 per month and variance of 0.02807. Assume that the monthly returns follow a

A $100,000 portfolio containing two stocks has an expected return of

A $100,000 portfolio containing two stocks has an expected return of 0.1 per month and variance of 0.02807. Assume that the monthly returns follow a normal distribution. (a) (7 marks) Calculate the 95% confidence level analytical absolute VAR of this portfolio during next month. (b) (7 marks) Calculate the 99% confidence level analytical relative VAR of this portfolio during next month. (c) (10 marks) Calculate the 95% confidence level analytical absolute VAR of this portfolio during next quarter (keep 4 digits after decimal point)

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