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Volatilities of the assets

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Consider a position consisting of a $300,000 investment in asset A and a $500,000 investment in asset B. Assume a daily volatilities of the assets are 1.8% and 1.2% respectively and that the coefficient of correlation between their returns is 0.3. What is the five day 95% value at risk for the portfolio?

Reference no: EM131082540

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