You are given a portfolio of two assets whose returns are jointly normally distributed with the following mean vector and covariance matrix:

0.20 0.08 0.04.

0.10 0.04 0.06

(a) Compute the 95% VaR of the portfolio if $1 is invested in the first asset and $1 is invested in the second.

(b) Compute the ris-contribution of each asset to the VaR.

(c) Is the current portfolio weighing optimal? If not, suggest a better one.