15. Consider a position consisting of a $11,000 investment in Microsoft and a $52,000 investment in Amazon. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.28. What is the 1-day 95% VaR (z=1.645) for the portfolio?

a.

$898.77

b.

$1036.35

c.

$922.57

d.

$560.833