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Consider a position consisting of a $200,000 investment in asset A and a $150,000 investment in asset B. Assume that the daily volatilities of both
Consider a position consisting of a $200,000 investment in asset A and a $150,000 investment in asset B. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.35. What is the 5-day 99% value at risk for the portfolio?
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