Please answer question 3 and show work, thanks

X2 = 0.55 calculate the Value (VAB)at 2% Probabity 3, Consider a portfolio which consistof three risky assets . The returns of these assets are normally distributed with means : U 1 = 0. 12, Uz = 0,12, Us, = 0.12, The value of portfolio today Is $120 million. The Covariance matrix Is given by : 0.2 010 010 C 9 0 0 0. 3 0.0 0 . 0 0.0 0.4Suppose the time horizon is 2 months. A) Determine the Values of shares which make the variance of the putfalls minimum B ) what is the probability that the end of year gain is more than 20million? ( ) calculate Value at Risk ( VAR) with 1/ probability