Consider the expected return of volatility of a Porfolio consisting of two assets classes as below : S&P 500 NASDAQ Percentage invested 75% rest Expected annual return 0.12 0.18 Volatility 0.20 0.40 Assuming 250 days of trading, p being 0.90, the dajusted daily average return will be approximately u/250, and the daily volatility o/v250 (taking in mind that VaR may be stated in terms of u+20 ; where applicable with o being the standard deviation on its daily basis. CHF 50 a). At 5% level of significance, compute the daily VaR for a total porfolio value Million. b) At 99% confidence level, compute the annual and daily VaR c). assuming that the porfolio has postion consisting of CHF 100'000 invested in in S&P 500 and CHF 100'000 invested in NASDQ (previous weights of 75% and rest ignored); usimg the daily volatilites of both assets you computed above as well as the respcetive p, What is the 5-day, 95% VaR for the Portfolio ? Consider the expected return of volatility of a Porfolio consisting of two assets classes as below : S&P 500 NASDAQ Percentage invested 75% rest Expected annual return 0.12 0.18 Volatility 0.20 0.40 Assuming 250 days of trading, p being 0.90, the dajusted daily average return will be approximately u/250, and the daily volatility o/v250 (taking in mind that VaR may be stated in terms of u+20 ; where applicable with o being the standard deviation on its daily basis. CHF 50 a). At 5% level of significance, compute the daily VaR for a total porfolio value Million. b) At 99% confidence level, compute the annual and daily VaR c). assuming that the porfolio has postion consisting of CHF 100'000 invested in in S&P 500 and CHF 100'000 invested in NASDQ (previous weights of 75% and rest ignored); usimg the daily volatilites of both assets you computed above as well as the respcetive p, What is the 5-day, 95% VaR for the Portfolio