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Posted on Jul 30, 2024

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 -

day

99 %

VaR for the portfolio?

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