Question: Suppose last year your portfolio had an average weekly return of 1% and weekly standard deviation of 1.5%. You want to understand your risk exposure.

Suppose last year your portfolio had an average weekly return of 1% and weekly standard deviation of 1.5%. You want to understand your risk exposure.

a) Suppose your investment in this portfolio is for $100,000. What is the most you can expect to lose in dollars over the next week with 95% confidence?

b) What is the maximum percentage return you can expect to lose at 99% confidence level?

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