(10pts) The annual returns of stocks A and B jointly follow a bivariate normal distribution with mean vector (0.04,0.04) and covariance matrix (0.090.030.030.25). Suppose that you have a portfolio that invest w and 1w portions of $1000 in A and B respectively. Assume that short-selling is allowed. For this question, use 1.645 as the 95th percentile of a standard normal. (a) If w=0.4, find the corresponding one year VaR(0.05) and ES(0.05) of your portfolio. (b) Let w1 be the value of w that minimizes the one year VaR(0.05) of your portfolio, w2 be the value of w that minimizes the one year ES(0.05) of your portfolio. Find the values of w1 and w2. (10pts) The annual returns of stocks A and B jointly follow a bivariate normal distribution with mean vector (0.04,0.04) and covariance matrix (0.090.030.030.25). Suppose that you have a portfolio that invest w and 1w portions of $1000 in A and B respectively. Assume that short-selling is allowed. For this question, use 1.645 as the 95th percentile of a standard normal. (a) If w=0.4, find the corresponding one year VaR(0.05) and ES(0.05) of your portfolio. (b) Let w1 be the value of w that minimizes the one year VaR(0.05) of your portfolio, w2 be the value of w that minimizes the one year ES(0.05) of your portfolio. Find the values of w1 and w2