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(2) (5 Points) Assume the correlations for the US, UK and Japan equity indices from the last 101 years are: Correlation coefficients US UK Japan

(2) (5 Points) Assume the correlations for the US, UK and Japan equity indices from the last 101 years are: Correlation coefficients US UK Japan US 1.00 0.55 0.21 UK 0.55 1.00 0.33 Japan 0.21 0.33 1.00 Annual Returns Standard Deviation 8.70% 20.20% 7.60% 20.00% 9.30% 30.30% What is the quarterly 5% VAR for a portfolio with an equal investment in each index

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