1)Consider a portfolio which consists of two assets. The returns of the assets are normally distributed with N(0.1,.025) and N(0.2,0.09).O. The value of portfolio today is $120 million and the covariance matrix are given by (0.025 0.2 S = 0.2 0.09 i) Determine 21 and 22 such that Vport (x] becomes minimum. a) Eport=? b) Vport=? Calculate VaR for 96% and c) 2 days d) 5 days d) 2 weeks time horizons 1)Consider a portfolio which consists of two assets. The returns of the assets are normally distributed with N(0.1,.025) and N(0.2,0.09).O. The value of portfolio today is $120 million and the covariance matrix are given by (0.025 0.2 S = 0.2 0.09 i) Determine 21 and 22 such that Vport (x] becomes minimum. a) Eport=? b) Vport=? Calculate VaR for 96% and c) 2 days d) 5 days d) 2 weeks time horizons