Consider a position in the following assets: Asset A: $100,000 Daily Stdev: 1.20% Asset B: $50,000 Daily
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Question:
Consider a position in the following assets: Asset A: $100,000 Daily Stdev: 1.20% Asset B: $50,000 Daily Stdev: 1.50% Corr: 0.4 What is the 10-day, 99% VaR for the portfolio.
- A.$5,217.76
- B.$12,157.38
- C.$10,226.81
- D.$1,650.00
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