Stocks A has an expected daily return of 0.05% and B has an expected daily return of 0.10%, and they have following variance-covariance matrix,
A B
A 0.25%
B 0.20% 0.50%
A/A is 0.25%, A/B IS 0.20%, B/A is blank and B/B is 0.50%
Now suppose that you have $10,000 invested equally in the two stocks: Compute the 5-day value at risk at the 95% confidence level: (a) 0.075% (b) -$92.04; (c) -$174.96; (d) -$137.24