Consider a position consisting of a $300,000 investment in gold and a $500,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.8% and 1.2%, respectively, and that the coefficient of correlation between their returns (propotional changes in their values) is 0.6. Assume return distributions of the two assets are normal distributions with mean zero, and thus the change in the portfolio is normally distributed; also assume independance across all daily changes. a. What is the 10-day 97.5\% VaR for the porfolio? b. How much does diversification reduce the VaR? In the previous question: what is the standard deviation of the daily return on this portfolio