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A bank has estimated its VAR for its bond portfolio is $25,600 and for its stock portfolio, it is $33,600. The correlation coefficient between the
A bank has estimated its VAR for its bond portfolio is $25,600 and for its stock portfolio, it is $33,600. The correlation coefficient between the two portfolios is -0.25. How much VAR would be reduced if they were allowed to aggregate the VAR of the two portfolios?
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Portfolio VAR w12 VAR1 w22 VAR2 2 w1 w2 SD1 SD2 Corr Le...
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Corporate Finance A Focused Approach
Authors: Michael C. Ehrhardt, Eugene F. Brigham
6th edition
1305637100, 978-1305637108
