(Portfolio VaR) Suppose there are two investments A and B. Either investment A or B has a 8% chance of a loss of $8 million, a 12% chance of a loss of $1 million, a 30% chance of a profit of $1 millio:
a) $2.45 million
b) $2.60 million
c) $2.75 million
d) $2.90 million
