Question: Problem 1: VaRious Considerations You are a hedge fund manager with a portfolio of $500 million. The historical return distribution of your portfolio is assumed

Problem 1: VaRious Considerations You are a hedge fund manager with

Problem 1: VaRious Considerations You are a hedge fund manager with a portfolio of $500 million. The historical return distribution of your portfolio is assumed to be Normal with monthly expected return equal to 10% and variance 0.04. You prepare some risk measures to present to your clients. 1. Estimate VaR10%, VaR25% and VaR50% in dollars.* 2. Compare the VaR results you got in (1). Which is largest, which is smallest and why? * Tip: Work with returns and then apply the result to the initial value of the portfolio

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