II. Value at Risk Find the value at risk for different time horizons and confidence levels of a 1,000$ portfolio in Dell and Microsoft stocks. Assume that ERDell-0.15%, and ERMaft-0.05%, and that their daily percentage returns have the following covariance matrix, Dell Microsoft-0.300 Microsoft 0.400 -0.300 0.250 Assuming you hold an equal weighted portfolio 19. What is the expected return: (a) 0.325; (b) 0.25; (c) 0.10; (d) 0.44; 20. What is the variance: (a) 0.567; (b) 1.234; (c) 0.013; (d) 0.112; 21. What is the 1-day value at risk at a 95% confidence level: (a) $1.56; (b) $2.90; (c) S-0.84; (d) S0.41; 22. What is the 1-day value at risk at a 99% level: (a) $-3.64; (b) $-1.60; (c) $0.93; (d) $2.72 23. What is 30-day value at risk at a 95% confidence level: (a) $4.60; (b) $2.16; (c) $-0.59; (d) S-7.92; 24. What is the 30-day value at risk at a 99% level: (a) $1.96; (b) 88.77; (c) $-0.89; (d) S-1.32; Now try to find the minimum variance weight between Dell and Microsoft 25. The optimal weight on Dell is (a) 0.25; (b) 0.73; (c) 0.44; (d) 0.32; Assuming the optimal weighting you found in 25 and a $1,000 portfolio: 26. What is the expected return: (a) 0.42; (b) 0.21; (c) 0.72; (d) 0.09; 27. What is the standard deviation: (a) 0.56; (b) 0.45; (c) 0.23; (d) 0.089; 28 What is the 1-day value at risk at a 95% confidence level: (a) $0.53; (b) $4.53; (c) $1.98; (d) S-0.23; 29. What is the 1-day value at risk at a 99% level: (a) $-6.24; (b) $0.32; (c) $0.02; (d) $-1.14; 30. What is 30-day value at risk at a 95% confidence level: (a) $-291; (b) $2.33; (c) $-0.93; (d) S-3.97; 31, What is the 30-day value at risk at a 99% level: (a) $-2.04; (b) $1.93; (c) $-6.25; (d) S-23.97