This problem uses daily stock price data in the file Stock_Bond.csv on the book’s website. In this exercise, use only the first 500 prices on each stock. The following R code reads the data and...

This problem uses daily stock price data in the file Stock_Bond.csv on the book’s website. In this exercise, use only the first 500 prices on each stock. The following R code reads the data and extracts the first 500 prices for five stocks. “AC” in the variables’ names means “adjusted closing” price.

(a) What are the sample mean vector and sample covariance matrix of the 499 returns on these stocks?

 (b) How many shares of each stock should one buy to invest $50 million in an equally weighted portfolio? Use the prices at the end of the series, e.g., prices[,500].

 (c) What is the one-day VaR(0.1) for this equally weighted portfolio? Use a parametric VaR assuming normality.

(d) What is the five-day Var(0.1) for this portfolio? Use a parametric VaR assuming normality. You can assume that the daily returns are uncorrelated.