James had an equity portfolio that contains $40,000 investment in Tesla (TSLA) and $60,000 investment in Microsoft (MSFT) since 2018. After seeing the stock market turmoil sparked by coronavirus, he contacted you and seek for some approaches to measure the expected losses of his portfolio. As his investment adviser, you decided to use the model building approach to measure the risk of James' portfolio.

question

a.What is the 10-day 97% value at risk for TSLA and MSFT, respectively?

b. What is the 10-day 97% value at risk for the portfolio?

c.

TSLA MSFT Date Adj Close Price return Adj Close Price retur W 9/10/18 52.56 109.279175 10/10/18 51.376 -2.25% 103.341148 -5.43% 11/10/18 50.446 -1.81% 103.097778 -0.24% 12/10/18 51.756 2.60% 106.660583 3.46% 15/10/18 51.918 0.31% 104.742897 -1.80% 16/10/18 55.318 6.55% 108.052628 3.16% 17/10/18 54.356 -1.74% 107.770317 -0.26% LO 18/10/18 52.782 -2.90% 105.619011 -2.00% 19/10/18 52 -1.48% 105.774765 0.15% 12 22/10/18 52.19 0.37% 106.718994 0.89% w 23/10/18 58.828 12.72% 105.229622 -1.40% 14 24/10/18 57.7 -1.92% 99.603111 -5.35% 15 25/10/18 62.972 9.14% 105.424324 5.84% 16 26/10/18 66.18 5.09% 104.119904 -1.24% 17 29/10/18 66.97 1.19% 101.092476 -2.91% 18 30/10/18 65.98 -1.48% 100.975662 -0.12% 19 31/10/18 67.464 2.25% 103.973877 2.97% 20 1/11/18 68.856 2.06% 103.107498 -0.83% 21 2/11/18 69.282 0.62% 103.341148 0.23% 22 5/11/18 68.28 -1.45% 104.655296 1.27% 23 6/11/18 68.212 -0.10% 104.859718 0.20% 4 7/11/18 69.632 2.08% 108.987129 3.94% 25 8/11/18 70.28 0.93% 108.782707 -0.19% 26 9/11/18 70.102 -0.25% 106.660583 -1.95% 27 12/11/18 66.256 -5.49% 104.032303 -2.46% 28 13/11/18 67.746 2.25% 104.100433 0.07% 29 14/11/18 68.8 1.56% 102.624176 -1.42% 30 15/11/18 69.688 1.29% 104.882553 2.20% 31 16/11/18 70.862 1.68% 105.869987 0.94% 32 19/11/18 70.694 -0.24% 102.282005 -3.39% 33 20/11/18 69.498 -1.69% 99.437035 -2.78% 34 21/11/18 67.638 -2.68% 100.80574 1.38% 35 23/11/18 65.166 -3.65% 100.76664 -0.04% 26/11/18 69.2 6.19% 104.09066 3.30% 27/11/18 68.784 -0.60% 104.745682 0.63% 38 28/11/18 69.574 1.15% 108.636749 3.71% 39 29/11/18 68.234 -1.93% 107.727531 -0.84% 40 30/11/18 70.096 2.73% 108.41188 0.64% 3/12/18 71.698 2.29% 109.58506 1.08% 12 4/12/18 71.94 0.34% 106.094833 -3.18% 43 6/12/18 72.612 0.93% 106.749878 0.62% 14 7/12/18 71.594 -1.40% 102.477531 -4.00%