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Consider a position consisting of a $100,000 investment in asset X and a $100,000 investment in asset X. Assume that the daily volatilities of both

Consider a position consisting of a $100,000 investment in asset X and a $100,000 investment in asset X. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3.

Why the 5-day 99% VaR for the portfolio is different to the 5-day 99% VaR for a $200,000 investment in asset X?

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