You are given two daily price time series for two assets. Denoting S(k) the price at date k, we assume that R(k)=log(S(k)/S(k-1))=S(k)/S(k-1)-1 follows a normal distribution in a daily frequency.

1) calculate the correlation coeffcient between two asset returns. 2) Investor A has 1M dollars, he invests 0.3M in Asset 1 and 0.7M in asset 2, calculate the volatility of his portfolio. 3) Calculate the VAR in a one day horizon with a 99% confidence level for investor A.

(the data is attached)

dates	Asset 1	Asset 2
1/1/14	468.0503	1848.36
2/1/14	459.2234	1831.98
3/1/14	454.8325	1831.37
6/1/14	454.3948	1826.77
7/1/14	455.4185	1837.88
8/1/14	451.9829	1837.49
9/1/14	448.2834	1838.13
10/1/14	451.5466	1842.37
13/1/14	450.9102	1819.2
14/1/14	451.4292	1838.88
15/1/14	454.7991	1848.38
16/1/14	453.8523	1845.89
17/1/14	455.4153	1838.7
20/1/14	455.4153	1838.7
21/1/14	456.0459	1843.8
22/1/14	461.1006	1844.86
23/1/14	461.3638	1828.46
24/1/14	462.304	1790.29
27/1/14	457.4556	1781.56
28/1/14	461.595	1792.5
29/1/14	463.8188	1774.2
30/1/14	463.615	1794.19
31/1/14	460.3718	1782.59
3/2/14	458.0442	1741.89
4/2/14	461.2488	1755.2
5/2/14	461.7468	1751.64
6/2/14	463.6658	1773.43
7/2/14	469.9939	1797.02
10/2/14	468.0637	1799.84