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5. Formula VaR calculation Our portfolio is currently worth $20000. We believe our portfolio follows GBM with drift p = 0.050 and volatility o =

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5. Formula VaR calculation Our portfolio is currently worth $20000. We believe our portfolio follows GBM with drift p = 0.050 and volatility o = 22%. What is the 1 day, 1 week, and 1 year expected value of the portfolio value, standard deviation of the portfolio value and 95% VaR of the portfolio? Note - 1 week is 5 trading days out of 252 trading days per year. 5. Formula VaR calculation Our portfolio is currently worth $20000. We believe our portfolio follows GBM with drift p = 0.050 and volatility o = 22%. What is the 1 day, 1 week, and 1 year expected value of the portfolio value, standard deviation of the portfolio value and 95% VaR of the portfolio? Note - 1 week is 5 trading days out of 252 trading days per year

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