What is the dear of the aggregate portfolio

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Jeff Resnick, vice president of operations at Choice Bank, is estimating the aggregate daily DEAR of the bank's portfolio of assets consisting of loans (L), foreign currencies (FX), and common stock (EQ). The individual DEARs are $300,700, $274,000, and $126,700 respectively. If the correlation coefficients (rij) between L and FX, L and EQ, and FX and EQ are 0.3, 0.7, and 0.0, respectively, what is the DEAR of the aggregate portfolio?

Reference no: EM132794429

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