By how much does diversification reduce the var

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Reference no: EM131519489

You are to evaluate a portfolio with a gold position of $300,000 and a $500,000 investment in silver. The daily volatilities of gold and silver are 1.8% and 1.2% respectively, and the correlation between their returns is 0.6. Calculate the 10-day 97.5% VaR for the portfolio? By how much does diversification reduce the VaR?

Reference no: EM131519489

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