4. Compute the 5% VaR for a portfolio containing TWO categories of Assets. The Z-level confidence figure is 1.645. The first category portfolio includes stocks which are traded on the GSE with an expected return of 12% and Standard Deviation of 10% per annum. The second category contains stocks are traded on the NSE with an expected return of 15% and standard deviation is 22% per annum. The annual correlation between the TWO categories of assets is 80%. The market value of the Portfolio is US$10 million. The proportion of investment is 60% for the GSE portfolio and 40% for the NSE portfolio. Compute the VaR at the .01, 1-Year level where the Z-level is 2.326. Compute the 180-day VaR at the 99% level