Show work. Which of the following is approximately the Value at Risk at 5 percent of a portfolio of $10 million of asset A, whose expected return is 10 percent and volatility is 20 percent, and $10 million of asset B, whose expected return is 16 percent and volatility is 25 percent, where the correlation between the two assets is 0.1.
a. $0.9 million
b. $1.9 million
c. $2.9 million
d. $3.9 million
e. None of the above