Question 4. We have $15 million in Stock A, and $10 million in Stock B. Assume N = 10 (days) and X = 99%. Assume daily volatility of Stock A of 2% and daily volatility of Stock B of 1%. The correlation coecient is 0.3. The total value of the stocks exhaust the wealth, which means the total value of the fund is V = $15m + $10m = $25m. Assuming normal distribution, with N = 10 (days) and X = 99%, by how much in dollars the diversication reduces 1-day and 10-day-VaR, and 1-day and 10-day ES. Hint: Assume = 0, and compute the the N-day VaRs and N-day ESs for the individual stocks, and then compute the same by combining the two stocks in a portfolio.