Consider a portfolio consisting of $7 million invested in a security S, and $3 million invested in a security B. The security S has an expected return of 14 percent, and a standard deviation of 16 percent. The security B has an expected return of 9 percent, and a standard deviation of 10 percent, and a beta of 0.8. The correlation between S and B is 0.35, and the sensitivity (beta) between the components and the overall portfolio are 1.06 for S, and 0.86 for B.

A) Calculate the dollar Value at Risk (VaR) at 95% confidence level

B) Calculate the expected return of the portfolio

C) Calculate the standard deviation of the portfolio

D) Calculate the component VaR of security S

E) Calculate the marginal VaR of security S