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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 3% and 2% respectively

An investor has $2,000 invested in stock A and $5,000 in stock B. The daily volatilities of A and B are 3% and 2% respectively and the coefficient of correlation is 0.8.

What is the ten-day 99% VaR? Assume that returns are multivariate normal. (Note that N(-2.326)=0.01)

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$857.91

$1177.05

$1120.52

$152.32

$997.89

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