Suppose each of two independent projects has a probability of 0.03 of a loss of $6 million and a probability of 0.97 of a loss of $3 million during a one-year period. The 99% ES for the portfolio of both projects is

Suppose each of two independent projects has a probability of 0.03 of a loss of
$6 million and a probability of 0.97 of a loss of $3 million during a one-year period.
The 99% ES for the portfolio of both projects is
 
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