Please show a step by step process on how to slove this question, please be clear on which formulas you use. The answer should be 70.6%

You own a share of a nondividend-paying stock and will hold it for a period of time. You want to set aside an amount of capital as a percentage of the initial stock price to reduce the risk of loss at the end of the holding period. You are given: . The stock price follows a lognormal distribution. The annualized expected rate of return on the stock is 15%. The annualized stock volatility is 40%. . The investment period is 4 years . The Value-at Risk at the 3rd percentile for the capital plus the ending stock value equals the initial stock price. Calculate the capital amount as a percentage of initial stock price