Assume that the economy can experience four possible states: high growth, normal growth, recession, or depression. For each of those states, you expect the following stock market returns for the coming year:

State of the Economy Probability Return

High Growth 0.20 20%

Normal Growth 0.60 8%

Recession 0.15 -10%

Depression 0.05 -30%

In dollar terms, what is the value at risk (over a one-year horizon at a 5 percent probability) associated with a $1,000 investment?