Suppose you have two independent investments: A and B. Investment A has a 3.75% chance of a loss of £10 million, a 1.75% chance of a loss of £2 million, a 87.5% chance of a profit of £1 million, a 5%...

Extracted text: Suppose you have two independent investments: A and B. Investment A has a 3.75% chance of a loss of £10 million, a 1.75% chance of a loss of £2 million, a 87.5% chance of a profit of £1 million, a 5% chance of a profit of £3 million, and a 2% chance of a profit of £12 million. Investment B has a 4% chance of a loss of £10 million, a 6% chance of a loss of £1 million, and a 90% chance of a profit of £3 million. a) What are the 95% value at risk and expected shortfall of each investment?