Calculate VaR for 98%, so R=8 and X1= 0,2

2): Value of portfolio is $120 million today. A Bank invests in X amount in asset with return N(0:1; 0:1), 12 amount in asset with return N(0:12; 0:2), 33 amount in asset with return N(0:13; 0:3),Covariance matrix of the portfolio ; .1 0 0.0 S=0 0.2 0- 0.0 0- 0.3 i) Determine 21 , X and X3 such that Vport [x] becomes minimum. a) x1 Eport=? , b) V port=? Calculate VaR for 9R%, and c) 4 days d) 8 days d) 5 weeks time horizons 9 2): Value of portfolio is $120 million today. A Bank invests in X amount in asset with return N(0:1; 0:1), 12 amount in asset with return N(0:12; 0:2), 33 amount in asset with return N(0:13; 0:3),Covariance matrix of the portfolio ; .1 0 0.0 S=0 0.2 0- 0.0 0- 0.3 i) Determine 21 , X and X3 such that Vport [x] becomes minimum. a) x1 Eport=? , b) V port=? Calculate VaR for 9R%, and c) 4 days d) 8 days d) 5 weeks time horizons 9