02 May O O O D 394_p52.pdf x + 6 9 C' i https://content.sakai.rutgers.edu/access/content/group/Bc6db1b
I need help with questions 19-31 please! Thank you!
O O O D 394_p52.pdf x + 6 9 C' i https://content.sakai.rutgers.edu/access/content/group/Bc6db1bd—84f2—4f78—8876—133a6fa521a8/Problem%2OSets/394_… Q Y} ® m 0 El 6 a 3 Apps R Course Schedule… B Handbook-2015-2… DigitalResources… a Watch Once Upon… E Scheduleopen mi… n Livingston Compu… 0 Watch Law&0rd… » II. Value at RiskFind the value at risk for different time horizons and confidence levels of 11 1,0003 portfolioin Dell and Microsoft stocks. Assume that Emma] = 0.15%; and E[RM,,,] = 0.05%, and that their daily percentage returns have the following covariance matrix,Dell MicrosoftDell 0.400 —0.300Microsoft —0300 0.250 Asuming you hold an equal weighted portfolio 19. What is the mipected return: (a) 0,325: (b) 0.25; (c) 0.10; (d) 0.44; 20. What is the variance: [3) 0.567; (b) 1.234; (0)01013; (d) 0.112; 21. What is the 1-day value at risk at a 95% confidence level: (a) $4.56; (b) $2.90; (c)3-0.84; (d) $0.41; 22. What is the 1—day value at risk at a. 99% level: (a) 93.64; (b) $71.60; (c) 30.93; (d) $2.72;23. What is 30-day value at risk at a 95% confidence level: (a) $4.60; (b) 52.16: (c) $0.59:(d) $7.92; 24. What is the 30-day value at risk at a 99% level: (a) 81.96; (b) $—8.77; (c) $089; (:1)3-1.32; Now try to find the minimum variance weight between Dell and Microsoft25. The optimal weight on Dell is (a) 0.25; (h) 0.73; (c) 0.44; (d) 0.32; Assuming the optimal weighting you found in 25 and a $1,000 portfolio: 26. What is the expected return: (a) 0.42; (b) 0.21; (e) 0.72; (d) 0.09; 27. What is the standard deviation: (a) 0.56; (b) 0.45; (c) 0.23; (d) 0.089; 28. What is the 1—day value at risk at a 95% confidence level: (a) 30.53; (in) $0.53; (0) $1.98;(d) $0.23; 29. Whatis the 1-day value at risk at a 99% level: (a) $6.24: 03) $0.32; (0) $0.02; (d) $4.14:301 What is 30-day value at risk at a 95% confidence level; (a) 5-2.91; (1)) $2.33; (0) $0193;(d) $3.97; 31. What is the 30-day value at risk at a 99% level: (a) $2.04; (b) 3-1.93; (c) $6.25; (d)$23,97'
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