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 coeffcient

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 diversification reduces 1-day and 10-day-VaR,

and 1-day and 10-day ES. Hint: Assume m = 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.