Company Expected return Standard deviation ( ) Beta Investment ($) ABC 21 34 1 75 7,500 XYZ 12 20 1 05 20,000 MNO 9 12 085 12,500 Correlation coefficients ABC XYZ MNO ABC 1 0 0 5 0 2 XYZ 1 0 0 8 MNO 1 0 Using the information from the preceding tables, calculate the dollar based deviation of the portfolio and the portfolios value at risk at the 95 confidence level

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Question: Company Expected return % Standard deviation (%) Beta Investment ($) ABC 21 34 1.75 7,500 XYZ 12 20 1.05 20,000 MNO 9 12 .085 12,500

Company	Expected return %	Standard deviation (%)	Beta	Investment ($)
ABC	21	34	1.75	7,500
XYZ	12	20	1.05	20,000
MNO	9	12	.085	12,500

Correlation coefficients	ABC	XYZ	MNO
ABC	1.0	0.5	0.2
XYZ		1.0	0.8
MNO			1.0

Using the information from the preceding tables, calculate the dollar-based deviation of the portfolio and the portfolios value-at-risk at the 95% confidence level.

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