5. You are the risk manager for a portfolio with a mean daily return of 0.40% and a daily standard.. 1 answer below »

5. You are the risk manager for a portfolio with a mean daily return of 0.40% and a daily standard deviation of 2.3%. Assume the returns are normally distributed (not a good assumption to make, in general). What is the 95% VaR? 6. You are told that the log annual returns of a commodities index are normally distributed with a standard deviation of 40%. You have 33 years of data, from which you calculate the sample variance. What is the standard deviation of this estimate of the sample variance?

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