Assume there are three assets available, each are independent and the return distribution of each is as follows:

Asset A: rA ∈ {-20, -10, 0, 15} with probabilities {0.1, 0.2, 0.4, 0.3}

Asset B: r _B ∈ {-25, -15, 5, 20} with probabilities {0.1, 0.2, 0.5, 0.2}

Asset C: r _C ∈ {-40, -15, 5, 20} with probabilities {0.1, 0.2, 0.5, 0.2}

Consider two portfolios:

Portfolio 1 holds 6 units of Asset A and 4 unites of Asset B

Portfolio 2 holds 6 units of Asset A and 4 units of Asset C

Calculate VaR and CVaR for Portfolios 1 and 2 at the α=95% and α=99% confidence levels (just focus on the left tail).