Question: Question 4 (20 points): There are two securities (A and B). Stock A has a daily return with mean 0 and standard deviation 2%, stock

Question 4 (20 points): There are two securities (A and B).

Question 4 (20 points): There are two securities (A and B). Stock A has a daily return with mean 0 and standard deviation 2%, stock B has a daily return with mean 0 and standard deviation 1.5%. The current price of stock A and B are 100 and 80 respectively. The correlation between stock A and B is 0.4. (a) What is the 95% 5-day VaR for an investment of buying 10 thousand shares of stock A? (b) What is the 95% 10-day VaR for an investment of buying 9 thousand shares of stock B? (c) What is the 95% 10-day VaR if you have a portfolio of the above two investments

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