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Homework answers / question archive / Calculate the six-month 98% VaR for QAN

stock using a bootstrapping procedure in Excel assuming independence in monthly returns. Use 200 bootstrapped samples. Present a histogram of the bootstrap distribution of portfolio values. Comment on your findings.

Year 0 cash flow = -116,000

Year 1 cash flow = 28,000

Year 2 cash flow = 43,000

Year 3 cash flow = 38,000

Year 4 cash flow = 41,000

Year 5 cash flow = 40,000

Year 6 cash flow = 37,000