20.31. The calculations for the four-index example at the end of Section 20.6 assume that the investments in the DJIA, FTSE 100, CAC 40, and Nikkei 225 are $4 million, $3 million,

$1 million, and $2 million, respectively. How do the VaR and ES estimates change if the investments are $3 million, $3 million, $1 million, and $3 million, respectively? Carry out calculations when

(a) volatilities and correlations are estimated using the equally weighted model and

(b) when they are estimated using the EWMA model. What is the effect of changing l from 0.94 to 0.90 in the EWMA calculations? Use the spreadsheets on the author’s website