Assume your portfolio is composed only of 2,800,000 units of Asset 1. You want to study Monte Carlo VaR method and have generated following random variables: 0.1989, -1.5894, - 0.2115, 1.1678. Using the random normal variables estimate the worst case portfolio value as 23.12.2017.

Below are the return, volatility and price data for Asset 1 and Asset 2 which have a correlation coefficient (e) of 0.90. Returns of both assets are normally distributed. Table 1: Portfolio Details Variable Asset 1 Asset 2 $15 Price (S) as of 22.12.2017 Expected Return per annum (u) Volatility per annum (0) 12.00% $12 13.00% 40.00% 28.00% Table 2: Historical Price Data ($) Date 17.12.2017 18.12.2017 19.12.2017 20.12.2017 21.12.2017 14.32 14.50 13.80 13.45 14.86 Si S2 11.80 10.70 11.31 11.45 11.88