Consider a portfolio that has equal amounts of $10 invested in two assets. Suppose returns on the two assets are jointly normally distributed. The annual expected returns and variance of returns on the first asset are given by 

Consider three cases: 

(a) The correlation between the returns is ρ = 0. 

(b) The correlation between the returns is ρ = +0.50. 

(c) The correlation between the returns is ρ = −0.50. 

For each case, identify the 99% Value-at-Risk of the portfolio. Explain the pattern of dependence of VaR on the correlation.