Consider a portfolio with three positions: (1) one equity market index share whose current price is $1000, the annual standard deviation of the equity index return is 0.3; (2) 10 call index options on same market index, and the the delta of one call option is 0.6; and (3) one bond market index whose current price is $2000, and the annual standard deviation of the bond index is 0.05. The correlation between the equity index return with the bond index return is -0.2. (a) What is the maximum loss of this portfolio in one day with 99% confidence level? (b) What is the maximum loss of the equity portfolio (including equity index and index option) in one day with 99% confidence level?, What is the maximum loss of the bond portfolio in one day with 99% confidence level?, (c) In terms of the VaR perspective, what is the diversification benefit? Consider a portfolio with three positions: (1) one equity market index share whose current price is $1000, the annual standard deviation of the equity index return is 0.3; (2) 10 call index options on same market index, and the the delta of one call option is 0.6; and (3) one bond market index whose current price is $2000, and the annual standard deviation of the bond index is 0.05. The correlation between the equity index return with the bond index return is -0.2. (a) What is the maximum loss of this portfolio in one day with 99% confidence level? (b) What is the maximum loss of the equity portfolio (including equity index and index option) in one day with 99% confidence level?, What is the maximum loss of the bond portfolio in one day with 99% confidence level?, (c) In terms of the VaR perspective, what is the diversification benefit