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An investor has $2,500 invested in stock A and $5,000 in stock B. The yearly volatilities of A and B are 32% and 24% respectively

An investor has $2,500 invested in stock A and $5,000 in stock B. The yearly volatilities of A and B are 32% and 24% respectively and the coefficient of correlation is 0.7.

What is the benefit of diversification from one-day 99% portfolio VaR? (Note that N(-2.326)=0.01, round the answer two digits after the decimal)

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