An investment has a daily average return of 0.5% and a standard deviation of 1.55%. Market value of the portfolio is $500,000. What is the daily VAR at 95% confidence level?

A 2.65%

B 2.05%

C 2.35%

D 2.45%

An investment has a daily average return of 0.5% and a standard deviation of 1.55%. Market value of the portfolio is $500,000. What is the monthly $VAR at 95% confidence level? Assume 22 days in a month.

A $4,797

B $5,300

C $5,785

D $3,783

Consider a portfolio consisting of stocks and bonds. Stock portion has an expected return of 20% and standard deviation of 20%. Bond portion has an expected return of 5% and standard deviation of 10%. (all figures annual). Correlation between these two asset classes is 0.30. Portfolio is allocated 50% to stocks and 50% to bonds. Determine annual VAR at 5% level.

A -7.98%

B 8.95%

C 10.65%

D 4.95%