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Consider a position consisting of a $ 1 0 0 , 0 0 0 investment in asset A and a $ 1 0 0 ,

Consider a position consisting of a $ 100,000 investment in asset A and a $ 100,000 investment in asset B. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3. What is the 5-days 95% value at risk for the portfolio?

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