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An investor has $2,000 invested in stock A and $5,000 in stock B. The daily volatilities of A and B are 1.5% and 1% respectively

An investor has $2,000 invested in stock A and $5,000 in stock B. The daily volatilities of A and B are 1.5% and 1% respectively and the coefficient of correlation is 0.8. What is the one-day 99% VaR? Assume that returns are multivariate normal (Note that N(-2.326)=0.01)

$200

$112

$135

$331

$177

$215

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