4. For a portfolio consisting of two securities, APPLE and WMT, worth $4M and $4M, respectively. Suppose that the expected daily returns are 1.5% and 1% respectively, daily volatilities (standard deviation) of these two assets are 5% and 4% respectively, and that the correlation coefficients between them are 0.3.

(a) Assuming the two returns are multivariate normal distribution, what is the VaR(a=0.01, T = 1 day) of the portfolio?

(b) If the two returns are multivariate t-distribution, how will that affect the corresponding VaR?