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4. Consider a position consisting of a $50,000 investment in onions and a $80,000 investment in rubber bands. Suppose that the per annum volatilities of

4. Consider a position consisting of a $50,000 investment in onions and a $80,000 investment in rubber bands. Suppose that the per annum volatilities of these two assets are 25% and 15%, respectively, and that the coefficient of correlation between their returns is -0.4. What is the 5-day 97.5% VaR and ES for the portfolio? By how much does diversification reduce the VaR? Assume jointly normally distributed returns.

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