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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 R investment in gold and a R investment in silver. Given the respective daily volatilities of for gold and for silver, along with a coefficient of correlation between their returns of calculate the day VaR and VaR diversification benefit for the portfolio.
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