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Consider a position consisting of a R400,000 investment in gold and a R600,000 investment in silver. Suppose that the daily volatilities of these two assets

Consider a position consisting of a R400,000 investment in gold and a R600,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.6% and 1.3%, respectively, and that the coefficient of correlation between their returns is 0.65. Calculate the 10-day 97.5% VaR and VaR diversification benefit for the portfolio. (6)

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