Question 3

An investor owns 12,000 shares of a particular stock. The current market price is R100.

What is the "worst case" value of the portfolio in six months? For the purposes of this

question, define the worst case value of the portfolio as the value which is such that there

is only a 1% chance of the actual value being lower. Assume that the expected return and

volatility of the stock price are 8.5% and 23%, respectively.