4.8.2 What is the relationship between portfolio VaR and the individual asset VaRs? Is portfolio VaR a weighted average of the individual asset VaRs? 4.8.3 Consider two risky assets with the following probability distributions of their returns: Scenario w Probability P(w) Return R Return R2 -20% 30% 5% 10% 10% -20% Calculate the expected returns, He, standard deviations, 01, and correlation coefficient of returns, 0.1 0.6 0.3 P12