Uppose that the daily volatilities of these two asset are

Reference no: EM13597475

Consider a position consisting of a300, 000 investments in gold and a 500,000 investment in silver. Suppose that the daily volatilities of these two asset are 1.8% and 1.2 % respectively and that the coefficient of correlation between their return is 6./0 what is the 10 days 97.5% VaR for portfolio? By how much does diversification reduce the VaR?

Reference no: EM13597475

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