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Consider an investment consisting of 2,000,000 dollars investment in index A and 1,800,000 investment in index B. Assume that daily volatility of each asset is

Consider an investment consisting of 2,000,000 dollars investment in index A and 1,800,000 investment in index B. Assume that daily volatility of each asset is 2% and correlation of returns is 0.6. Calculate 1 day and 10 days Value-At-Risk with 95 percent confidence.

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