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Calculate the correlation between the two markets. Suppose you combine $500,000 invested in each market to construct a portfolio MF of $1 million invested equally

Calculate the correlation between the two markets. Suppose you combine $500,000 invested in each market to construct a portfolio MF of $1 million invested equally in the two markets. Based on your calculations, which of the following is true?

VaR(MF) = VaR(Monetaria) + VaR(Fiscalia)

VaR(MF) < VaR(Monetaria) + VaR(Fiscalia)

VaR(MF) > VaR(Monetaria) + VaR(Fiscalia)

Depending on market conditions, VaR(MF) can be =, > or < the sum of the individual VaRs..

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