You have invested ( $ 100,000 ) in asset (A 1 ) and ( $ 250,000 ) in asset (A 2 ) The annual returns are represented by a single index model with parameters The annual return of the market portfolio has expected return (7 ) and standard deviation (37 ) The volatilities of the specific risks are (22...

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You have invested ($ 100,000) in asset (A_{1}) and ($ 250,000) in asset (A_{2}). The annual returns

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You have invested $\$ 100,000$ in asset $A_{1}$ and $\$ 250,000$ in asset $A_{2}$. The annual returns are represented by a single-index model with parameters

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The annual return of the market portfolio has expected return $7 \%$ and standard deviation $37 \%$. The volatilities of the specific risks are $22 \%$ and $31 \%$, respectively, on an annual basis. Assuming that the risk factors are normally distributed, find the annual and the daily value-at-risks, with confidence level $99 \%$.

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