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2 . b ) Suppose that you have invested in a portfolio consisting of 1 2 0 , 0 0 0 in Marks & Spencer
b Suppose that you have invested in a portfolio consisting of in Marks & Spencer MKS shares and in AstraZeneca AZN shares. Suppose that the daily volatilities of these two assets are and respectively, and that the coefficient of correlation between their returns is Calculate the day normal VaR for this portfolio and show the benefits of diversification.
b Suppose that you have invested in a portfolio consisting of in Marks & Spencer MKS shares and in AstraZeneca AZN shares. Suppose that the daily volatilities of these two assets are and respectively, and that the coefficient of correlation between their returns is Calculate the day normal VaR for this portfolio and show the benefits of diversification.
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