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Coefficient of correlation between returns

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Reference no: EM132899955

Consider a position consisting of a $78,000 investment in Microsoft and a $90,000 investment in Amazon. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.32. What is the 1-day 95% VaR (z=1.645) for the portfolio?

Reference no: EM132899955

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