Question: Consider two risky assets with returns R 1 and R 2 corresponding to respectively asset 1 and asset 2. Assume the mean vector and the

Consider two risky assets with returns R₁ and R₂ corresponding to respectively asset 1 and asset 2. Assume the mean vector and the covariance matrix of the return vector are given by:

matrix of the return vector are given by: An investor has invested $20 in asset 1 and $50 in asset 2. Under the assumption

that (R1, R2) has a bivariate normal distribution with the mean vector

An investor has invested $20 in asset 1 and $50 in asset 2. Under the assumption that (R₁, R₂) has a bivariate normal distribution with the mean vector and covariance matrix , determine the distruibution and Value-at-Risk at level 99% of the loss associated with this investment portfolio.

1.5 ER212) Cor(R1, R2) Var(R))) 1 2 1.5 ER212) Cor(R1, R2) Var(R))) 1 2

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