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1. A portfolio consists of the following two assets, M and N. The coefficient of correlation between their returns is 0.55. Cumulative normal distribution values:

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1. A portfolio consists of the following two assets, M and N. The coefficient of correlation between their returns is 0.55. Cumulative normal distribution values: 97%: 1.8808; 98%: 2.054; 99%: 2.3260 Asset Investment amount Daily volatility M $250,000 2.5% N $150,000 1.0% a. What is the ten-day 97% Value at Risk (VaR) for the portfolio? (5 marks) b. What is the ten-day 97% Expected Shortfall (ES) for the portfolio? (5 marks) c. Why is ES preferred

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