With the SP500_const dataset in the qrmdata package, assuming an estimation window

from the beginning of year 1995 to the end of year 2004, solve the following:

a). You have an equal weighted portfolio consisting of 5 stocks with tickers HPQ, PNC, RIG, WFC,

and FOSL. Using R code, with the given estimation window, calculate and decompose each stock's

contribution to portfolio risk in terms of X-Sigma-Rho. Also calculate total portfolio risk.

b). Now construct a risk parity portfolio with these stocks (use the SolveRiskParity() function) - what

is the allocation weight to each stock? Plot each MCT Ri

in a bar plot. Also show total portfolio risk.

c). Estimate the 99% VaR and ES of your portfolio from (b), with: (i) variance-covariance method,

(ii) historical simulation method, (iii) Monte Carlo simulation based on a fitted multivariate normal

distribution and (iv) Monte Carlo simulation based on a fitted multivariate t distribution.