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An investor has $3,340 invested in stock A and $3,308 in stock B. The daily volatilities of A and B are 1.56% and 1.18%, respectively,
An investor has $3,340 invested in stock A and $3,308 in stock B. The daily volatilities of A and B are 1.56% and 1.18%, respectively, and the coefficient of correlation is 0.65. What is the five-day. 99% VaR? Assume that returns are multivariate normal (Note that N(-2.3263) = 0.01). Enter your answer as a positive number
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