Q.3157 Anthony James has a portfolio with only a single position of $700 million invested in shares of Grinold Bank. The manager is considering adding a $300 million position in Shares of Fujarah Bank or Yamama Bank to the portfolio. The current volatility of Grinolds is 12%. In addition, the shares of Fujarah Bank have a return volatility of 9% and a correlation with Grinold equal to 0.8, while the shares of Yamama Bank have a return volatility of 12% and a correlation with Grinold equal to zero. What will be the VaR at the 99% level of confidence of Anthony’s portfolio if he further invests $300 million in the shares of Fujarah Bank?