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b) Consider a position consisting of a $1,000 investment in gold and a $1,200 investment in silver. Suppose that volatilities of these two assets are

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b) Consider a position consisting of a $1,000 investment in gold and a $1,200 investment in silver. Suppose that volatilities of these two assets are 15% p.a. and 22% p.a., respectively. The coefficient of correlation between their returns is 0.75. What is the 10-day 95% value at risk for the portfolio? What is the diversification benefit for the portfolio? (Total Marks: 10)

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