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 0.21 0.2 0.09 i) Determine I, and I such that Vport [x] becomes minimum. a) Epert=? . b) Vport=? Calculate VaR for 9%, and c) 2 days d) 5 days d) 2 weeks time horizons 0 0.07 0 2): Value of portfolio is $120 million today. A Bank invests in y amount in asset with return N(0:1; 0:1), 12 amount in asset with return N(0:12; 0:2), 13 amount in asset with return N(0:13: 0:3).Covariance matrix of the portfolio : [0.1 S = 0.2 0- 0.0 0- 0.3 i) Determine I Izand xs such that Vport [x] becomes minimum. a) Eport=? , b) Vport=? Calculate VaR for 9R%, and c) 4 days d) 8 days d) 5 weeks time horizons 3) Value of portfolio today is $100 million. Bank invest in; $30 million in LN(0:1: 0:1), $25 million in LN(0:12: 0:2). $45 million in LN (0:13; 0:6). Covariance matrix of the portfolio: 0.1 0.04 S = covariance matrix = 0.04 0.2 [0.03 -0.04 0.03 -0.04 0.6 a) Eport=? ,b) Vport=? , Calculate VaR for 9R%, and c) 4 days d) 8 days d) 5 weeks time horizons. Note:R is the last digit of your registration number