#1

Greg Smith manages a portfolio of two investments: long-term corporate bond and large capitalization stock. Of the portfolios current stock make up 30%. The correlation between bond and stock in Smith's portfolio is -0.15. Smith has estimated a VaR (99%) of 2.0%, or 3.36 MM, for the corporate bond position and 1.5% or $11.33 MM for the large capitalization stock position. The portfolio VaR (99%) on a dollar basis is ________________.

		13.83 MM
		11.32 MM
		10.92 MM
		15.42 MM

#2

The answer cannot be determined from the data given.

		optimal mix of the risk-free asset and risky asset
		risk-free rate
		optimal risky portfolio
		capital allocation line