assume x1=0.2

9R=97% Calculate VaR for 97%,...

2): Value of portfolio is $120 million today. A Bank invests in 21 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 0 0.07 S=0 0.2 0- 0.0 0- 0.3 i) Determine x1 , 22and x3 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 2): Value of portfolio is $120 million today. A Bank invests in 21 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 0 0.07 S=0 0.2 0- 0.0 0- 0.3 i) Determine x1 , 22and x3 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