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An investor has $5,000 invested in stock A and $5,000 in stock B. The daily volatilities of A and B are 0.5% and 1.50% respectively
An investor has $5,000 invested in stock A and $5,000 in stock B. The daily volatilities of A and B are 0.5% and 1.50% respectively and the coefficient of correlation is 0.60. What is the one day 99% VaR (in dollars, not %)? (Note that N(-2.33)=0.01)
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