Consider two risky assets with returns R₁ and R₂ corresponding to respectively asset 1 and asset 2. Assume that (R_1, R₂) has a bivariate normal distribution with mean vector and covariance matrix given by:

a. Show that for all 0.5

VaR_p(R₁+R₂) VaR_p(R₁) + VaR_p(R₂₎.

b. An investor has invested $100 in asset 1 and $200 in asset 2. Find the VaR_p(L) and the CVaR_p(L) at level p = 0.95 and p = 0,99.

1.5 ER212) Cor(R1, R2) Var(R))) 1 2 1.5 ER212) Cor(R1, R2) Var(R))) 1 2