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Suppose that you have invested in a portfolio consisting of 200,000 in British Airways shares and 400,000 in Tesco shares. Suppose that the daily volatilities

Suppose that you have invested in a portfolio consisting of 200,000 in British Airways shares and 400,000 in Tesco shares. Suppose that the daily volatilities of these two assets are 1.3% and 0.9%, respectively, and that the coefficient of correlation between their returns is 0.4. Calculate the 10-day 99% normal VaR for this portfolio and show the benefits of diversification.

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