Calculate the individual VaR of the two assets:

$$\text{VaR X} = P \times (\sigma z) = 0.6(10) \times (0.05)(2.33) = 0.70 \text{ million}$$ $$\text{VaR Y} = P \times (\sigma z) = 0.4(10) \times (0.10)(2.33) = 0.93 \text{ million}$$

When the assets are perfectly correlated, the portfolio VaR is simply the sum of the VaRs of the two assets.

Portfolio VaR when perfectly correlated = $0.7 + 0.93 = 1.63$ million

When the assets are uncorrelated, the portfolio VaR = $\sqrt{(\text{VaR}_x^2 + \text{VaR}_y^2)}$

Portfolio VaR when uncorrelated = $\sqrt{(0.7^2 + 0.93^2)} = 1.16$ million