R = 1 & N(0.1, 0.025)

1)Consider a portfolio which consists of two assets. The returns of the assets are normally distributed with N(0.1,.025) and N(0.2,0.09).0. The value of portfolio today is $120 million and the covariance matrix are given by [0.025 0.2 S= 0.2 0.09 i) Determine 11 and 12 such that Vport [x] becomes minimum. a) Eport=? ; b) V port=? Calculate VaR for 9R%, and c) 2 days d) 5 days d) 2 weeks time horizons 1)Consider a portfolio which consists of two assets. The returns of the assets are normally distributed with N(0.1,.025) and N(0.2,0.09).0. The value of portfolio today is $120 million and the covariance matrix are given by [0.025 0.2 S= 0.2 0.09 i) Determine 11 and 12 such that Vport [x] becomes minimum. a) Eport=? ; b) V port=? Calculate VaR for 9R%, and c) 2 days d) 5 days d) 2 weeks time horizons