9. Consider a portfolio composed of shares AAA and BBB as shown in the following table. At 95% confidence level, select the correct statement

AAA, BBB

Value 2,470,000 785,750

% investment 76% 24%

Volatilities 2.32 % 2.69 %

Correlation for both assets 0.65

Portfolio Value for both assets 3,255,750

a) The Marginal VaR of the Asset BBB is 0.03556

b) For each additional dollar invested in the asset AAA the VaR of the portfolio increases in 0.0373 $

c) As the marginal risk of AAA is bigger than the one of BBB, it is more effective to decrease the amount invested in AAA if what your goal is to reduce the risk of the portfolio VaR

d) All of the above are correct.