a. The current value of a stock portfolio is $23 million. A financial analyst summarizes the uncertainty about next year's holding-period return using the scenario analysis in the following spreadsheet. What are the annual holding-period returns of the portfolio in each scenario? Calculate the expected holding-period return, the standard deviation of returns, and the 5% VaR. What is the VaR of a portfolio with normally distributed returns with the same mean and standard deviation as this stock? D End of-Year Value (S million) Annual Dividend million) Business Conditions. Probability. p Scenario, s 4.40 High growth Nomal growth 0.30 35 2 3 045 27 4.00 No growth 020 15 4 4.00 5 Recession 4 0.05 8 2.00 b. Suppose that the worst three rates of return in a sample of 36 monthly observations are 17%, -5 % , and 2%. Estimate the 5% VaR. X New Tab Sype for Balance f. x Concept- XBKM Ch 5