23. (Requires Writing Code) You are given a portfolio of two assets with mean vector and c...

23. (Requires Writing Code) You are given a portfolio of two assets with mean vector and covariance matrix of returns over the VaR horizon as follows:

(a) Thejoint distribution of the securities is assumed to be Student's t with 5 degrees of freedom. Compute the 95% VaR of the portfolio if $100 is invested in the first asset and $200 is invested in the second. Assume that the returns are continuously compounded. Use Monte Carlo simulation (Chapter 36) for this question. Present your Octave program code with solutions.

(b) Redo part (a) using a Student's t distribution with 20 degrees of freedom. Comment on how your results compare to the first part.