What is the 5-day 95% value at risk for the portfolio

Reference no: EM131406481

Consider a position consisting of a $300.000 investment in asset A and a $500,000 investment in asset B. Assume that the 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 5-day 95% value at risk for the portfolio?

Reference no: EM131406481

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