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Current market price per unit Number of units held Total market value Historical volatility Asset A S50 100 $5,000 1.0% one day) Asset B S100

Current market price per unit Number of units held Total market value Historical volatility Asset A S50 100 $5,000 1.0% one day) Asset B S100 100 $10,000 2.0% (one day) Calculate the 5-day VaRp for a 99% confidence level assuming a correlation between A and B is LO 3.0.5 L 1 Do you see a patter? If yes, why? Explain and Show your steps. For the toolbar, press ALT+F10 (PC) or ALT+FN+F10 (Mac)

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