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1. Suppose that a portfolio return rn follows the normal distribution with mean =0.02 and variance 2=0.0144 (i.e. =0.12 ). Calculate 99%-Value at Risk (=VaR1%(rp)).

1. Suppose that a portfolio return rn follows the normal distribution with mean =0.02 and variance 2=0.0144 (i.e. =0.12 ). Calculate 99%-Value at Risk (=VaR1%(rp)). Note that 99% quantile value of the standard normal distribution is q99%=2.326

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