II. Value at Risk

Find the value at risk for dierent time horizons and condence levels of a 1; 000$ portfolio in Dell and Microsoft stocks. Assume that E[RDell] = 0.15%; and E[RMsft] = 0.05%; and

that their daily percentage returns have the following covariance matrix,

Dell Microsoft

Dell 0.400 -0.300

Microsoft -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% condence level: (a) $-1.56; (b) $2.90; (c) $-0.84; (d) $0.41; 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% condence level: (a) $-4.60; (b) $2.16; (c) $-0.59; (d) $-7.92; 24. What is the 30-day value at risk at a 99% level: (a) $1.96; (b) $-8.77; (c) $-0.89; (d) $-1.32;