Question: solve clearly 4. Monte Carlo VaR calculation A portfolio consisting of 150 shares of Apple and 100 share of IBM is purchased when the Apple

solve clearly 4. Monte Carlo VaR calculation A portfolio consisting of

solve clearly

4. Monte Carlo VaR calculation A portfolio consisting of 150 shares of Apple and 100 share of IBM is purchased when the Apple price was $103.52 and the price of IBM was $164.44. Our empirical estimation of the Apple and IBM prices in 1 week gives the following 10 equally likely possibilities for the pair of prices: ID Apple IBM 1 106.74 163.60 2 105.11 161.87 3 105.22 162.08 4 104.83 162.18 102.99 161.79 102.47 163.23 99.76 169.10 97.67 182.05 9 96.26 179.84 10 97.54 181.75 What are the 1 week 90th, 80th, 70th and 60th percentile VaR and ES of the portfolio

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