Value at risk for the portfolio

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Reference no: EM131519484

A portfolio consists of $575,000 in Microsoft stock and $725,000 in MasterCard stock. Volatility on a daily basis are 1.9 % and 1.25% respectively with a correlation coefficient of .45 between the two stocks. What is the five day 98% value at risk for the portfolio? Explain what the number means?

Reference no: EM131519484

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