A portfolio consists of two stocks SA and SB. Their shares, prices, expected return rates, annualized volatility and beta are given below:

The correlation between SA and SB returns is 0.65. The expected return rate of the market is 12%, the market return volatility is 30%, and the risk free rate is 2%. Returns of all risky assets follow normal distributions.

e) What is the 1-day, 97.5% confidence level VaR of the portfolio before and after adding the future position? Use 252 as the annualization factor, and assume the index future has the same statistical properties of the market index itself.

A B #shares 100000.0 50000.0 price 50.0 100.0 expected return 8.000% 18.000% volatility 20.0% 40.0% beta 60.0% 120.0%