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Consider a portfolio of $800,000, which is equally invested into three risky assets. Assume the returns of risky assets have the same volatility, 2.5%

Consider a portfolio of $800,000, which is equally invested into three risky assets. Assume the returns of risky assets have the same volatility, 2.5% per day, and the same correlation coefficient, 0.8. What is the diversification benefit for 10-day 97.5% VaR?

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