Correlation between the daily returns been zero

Reference no: EM132466228

Consider a position consisting of a Rs. 30 lakh investment in gold and a Rs. 50 lakh investment in silver. suppose that the daily volatilities of these two assets are 1.8% and 1.3% respectively, and that the correlation between the daily return is 0.6.

(A) What is the 10 day 99% VaR for the portfolio?

(B) By how much does diversification reduce the VaR?

Reference no: EM132466228

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