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Consider a position consisting of a $200,000 investment in gold and a $300,000 investment in silver. Suppose that the daily volatilities of these two assets

Consider a position consisting of a $200,000 investment in gold and a $300,000 investment in silver. Suppose that the daily volatilities of these two assets are 3.2% and 1.4%, respectively and that the coefficient of correlation between their returns is 0.87.

a. What is the 10-day 97.5% value at risk for the portfolio?

b. By how much does diversification reduce the VaR?

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