Solution-Value at risk for the portfolio

Value at risk for the portfolio

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Reference no: EM13961087

Consider a position consisting of a $100,000 investment in asset A and a $100,000 investment in asset B. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3. What is the 5-day 99% value at risk for the portfolio?

Reference no: EM13961087

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Value at risk for the portfolio

Reference no: EM13961087

Reference no: EM13961087

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