This question requires you to consider a three$-$asset portfolio valued at $10$ million AUD. The portfolio

consists of the following assets: AMP, Commonwealth Bank $($CBA$)$ and QBE. The variance covariance

matrix of $5$ day continuously compounded returns is equal to

$($a$)$ Define the Value at Risk $($VaR$)$ for a portfolio.

$($b$)$ Assuming portfolio weights of AMP $(40\%),$CBA$(30\%),$QBE$(30\%),$ calculate the $99\%5$ day relative

VaR estimate $($employ a z score measured to $2$ decimal places$)$

$($c$)$ Calculate the VaR diversification benefit of the portfolio.