Suppose that a portfolio??s return is normally distributed withmean 10% andstandard deviation 20%, both expressed in annual terms. The riskfree interest rate is 5%per annum.

Suppose that a portfolioâ??s return is normally distributed withmean 10% andstandard deviation 20%, both expressed in annual terms. The riskfree interest rate is 5%per annum. Calculate the 1% VaR 2 answers