What is the 5-day 99% value at risk for the portfolio

Reference no: EM131406483

Consider a position consisting of a 8100,000 investment in asset A and a 5100.000 investment in asset B. Assume that the daily volatilities of both assets arc I% 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: EM131406483

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