BANK and POWER stocks prices for the past five years are as follows.

	BANK	POWER
Year	Close	Close
31/12/2015	9.2	6.94
31/12/2016	9.98	11.38
31/12/2017	9.17	13.8
31/12/2018	8.4	13.32
30/12/2019	8.2	13.9
29/12/2020	9.8	15.26

1. Calculate the expected rate of return for each stock. (6 marks)

2. Calculate the standard deviation of returns for each stock. (6 marks)

3. Calculate the expected returns and standard deviation of the portfolio if you invest 60% in BANK and 40% in POWER. (12 marks)

4. Justify whether the portfolio of BANK and POWER is a good diversification.

(2 marks)

5. You allocate RM50 million to the portfolio of BANK and POWER stocks. Assume a 252-days trading per year.

1. Compute the one-day VaR and VaR for the portfolio at 99 percent. Interpret your result. (8 marks)

Measure the ten-day VaR and VaR for the portfolio at 99 percent. Interpret your result. (8 marks