Small investor Taf has 70% of his portfolio invested in a major market-index fund, and 30% in

Question:

Small investor Taf has 70% of his invested in a major market-index fund, and 30% in a small-stocks fund. The mean monthly return rate of the market-index fund is 1.5%, with standard deviation 0.9%. The small-stocks fund has the mean monthly return rate of 2.2% with standard deviation of 1.2%. The correlation between the two funds is 0.13. Assume normal for the return rates. What is the monthly VaR at 99% level for the Taf's if the value today is $100, 000?
Distribution
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