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A portfolio consists of both MTN and RMB shares. The 10-day 95% VaR for the portfolio of MTN shares is R2 505 400, the 10-day
A portfolio consists of both MTN and RMB shares. The 10-day 95% VaR for the portfolio of MTN shares is R2 505 400, the 10-day 95% VaR for the portfolio of RMB shares is R894 500 and the 10-day 95% VaR for the portfolio of both MTN and RMB shares is R3 303 000, respectively.
a) The benefit of diversification is equal to R_______
b) If MTN and RMB were perfectly correlated, then the VaR for both portfolios of MTN and RMB would be________ to the VaR for the MTN portfolio plus the Var for RMB portfolio.
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