2.(35 pts) Consider a portfolio which consists of single asset. The return of the asset is normally distributed with annual mean return 10% annual standard deviation 15%. The value of portfolio today is $120 million. Suppose the time horizon is one year. a) Determine the mean and standard deviation of the portfolio at the end of the year. b) What is the probability that the end of year loss is in between $10 million and $30 million? c) What is the probability that the end of year loss is more than $12 million? d) Calculate VaR for confidence level 0.1 e) Calculate VaR for confidence level 0.1 2.(35 pts) Consider a portfolio which consists of single asset. The return of the asset is normally distributed with annual mean return 10% annual standard deviation 15%. The value of portfolio today is $120 million. Suppose the time horizon is one year. a) Determine the mean and standard deviation of the portfolio at the end of the year. b) What is the probability that the end of year loss is in between $10 million and $30 million? c) What is the probability that the end of year loss is more than $12 million? d) Calculate VaR for confidence level 0.1 e) Calculate VaR for confidence level 0.1