2. You set up a portfolio II that consists of $y and one share of a stock X to be held for a period of T = 3 years. The expected annual return on the stock is 10%, its annual volatility 30% and the stock price St is assumed to follow the asset price model of log-normal distribution. Compute the amount of cash y as a percentage of the initial stock price So (i.e. set y = pSo and compute p (0, 1)) that is necessary so that the VaR at 95% confidence for the portfolio at expiry equals the initial stock price. [Recall: In this case, VaR is the value such that P(II(T) < x) = 0.05.]