a portfolio consists of...

A portfolio consists of 7 million of Alphabank shares and 2.5 million of Eurobank shares. The annual volatility of the returns for the Alphabank share is 64% and for the Eurobank share is 8%. The correlation between the returns of the two shares is 0.20. If the returns for both stocks are normally distributed and your confidence level is 99% (at 99% the Z of the standard normal distribution is 2.33 ) compute the following risk measures: a) The 1 and 10 days VaR (value-at-risk) for the Alphabank investment. [10 marks] b) The 1 and 10 days VaR for the Eurobank investment. [10 marks] c) The 1 and 10 days VaR for the overall investment (portfolio of Alphabank and Eurobank shares). [10 marks] d) What is the reduction of portfolio VaR due to the risk diversification? [3 marks]