3. Calculate the unconditional 1-day, 1% Value-at-Risk for a portfolio consisting of 50% in each asset. Calculate

Question:

3. Calculate the unconditional 1-day, 1% Value-at-Risk for a portfolio consisting of 50% in each asset. Calculate also the 1-day, 1% Value-at-Risk for each asset individually. Use the normal distribution. Compare the portfolio VaR with the sum of individual VaRs. What do you see?

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