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Explore the risk management of a portfolio, which combines a R 4 0 0 , 0 0 0 investment in gold and a R 6

Explore the risk management of a portfolio, which combines a R400,000 investment in gold and a R600,000 investment in silver. Given the respective daily volatilities of 1.6% for gold and 1.3% for silver, along with a coefficient of correlation between their returns of 0.65, calculate the 10-day 97.5% VaR and VaR diversification benefit for the portfolio. (5)

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