Consider a portfolio consisting of $7 million invested in a security S, and $3 million invested in

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Consider a portfolio consisting of $7 million invested in a security S, and $3 million invested in a security B. The sensitivity (beta) between the S component and the overall portfolio is 1.4. Assume that the portfolio has a VaR of $500,000.

The component VaR of asset B is closest to:

Posted Date: May 20, 2024 04:01 AM

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Consider a portfolio consisting of $7 million invested in a security S, and $3 million invested in

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