Question21 to 24

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 stooks. Assume that ERD 11-0.15%, and ERM ft-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 nsk at a 95% confidence level: (a) $156; (b) $2.90; (c) $-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) $216; (c) $-0.59; (d) S-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) S-1.32