4. Computing the Value at Risk when the distribution of the best portfolio is

unknown

(Assume that the Returns are not annualized)

(a) Assume that the distribution of the best portfolio is unknown. Use the empirical

distribution to compute the 1% VaR, the 5% VaR for the following horizons: 1

day, 1 week, 1 month, 3 months, 6 months, and 1 year.

(b) For each level (1% and 5%), plot the VaR in a graph when the horizon increases.

Interpret your result