a) The return of a portfolio that consists of a single asset is normally distributed with a mean return of 25% and a standard deviation of 20%. The value of the portfolio today is $90 million.

Using Excel, calculate:

1 The distribution of the end-of-year portfolio value

ii) The probability of a loss of more than $15 million by year-end

iii) The maximum loss (value at risk) at the end of the year, with 1% probability using the Excel Solver

Suppose that a portfolio whose initial value is $90 million and whose annual returns are lognormally distributed with parameters = 20% and = 15%. Calculate its annual Value at risk at 1%.