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Consider a position consisting of a $120,000 investment in asset A and a $120,000 investment in asset B. Assume that the daily volatilities of both

Consider a position consisting of a $120,000 investment in asset A and a $120,000 investment in asset B. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.4. What are the five-day 95% VaR and ES for the portfolio?

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