Consider a portfolio which consists of single risky asset.

The return of the asset is normally distributed with annual mean

return 6% annual standard deviation 16%. The value of portfolio

today is $70 million. Suppose that the time horizon is one month: a)

What is the probability that the end of one month portfolio value is

less than $50 million? b) Calculate Value at Risk (VaR) at 95% con-

dence level.c) Calculate Value at Risk (VaR) with 98% condence

level.