Suppose that (X, Y ) are the returns on two assets and have a multivariate t-distribution with degrees of freedom, mean vector, and covariance matrix (a) What is the distribution of R?]  (b) Write an...

Suppose that (X, Y ) are the returns on two assets and have a multivariate t-distribution with degrees of freedom, mean vector, and covariance matrix

(a) What is the distribution of R?]

 (b) Write an R program to generate a random sample of size 10,000 from the distribution of R. Your program should also compute the 0.01 upper quantile of this sample and the sample average of all returns that exceed this quantile. This quantile and average will be useful later when we study risk analysis.