Question 3 (15%) Consider a fund made of two portfolios, 4 and B. The five-day $-changes in the values of either portfolio are independent, identically distributed. Furthermore, the distributions are normal. The standard deviation of the five- day changes in the value of portfolio 4 is $253,000, its five-day mean is zero. a) (5%) Calculate portfolio 's one-day 95% VaR and one-day 99% VaR. b) (5%) Calculate portfolio 's one-day 95% ES and one-day 99% ES. c) (5%) Suppose that portfolio B's five-day 99% ES is $549,000 and the mean of its five-day $-change in value is $9,000. Assume further that the correlation between the changes in the values of the two portfolios is -80%. Calculate the two portfolios' aggregate one-day 99% ES