onsider a position consisting of an investment of $500,000 in gold and another of $500,000 in silver. Assume that the daily volatilities of these two assets are 1.8% and 1.2%, respectively, and that the correlation between the two assets is perfect and equal to 1. Calculate the 1-day 99% Value at Risk for the portfolio and the benefit derived from diversification:

a.

$13,980, but there is no benefit from diversification

b.

$27,960, but there is no benefit from diversification

c.

$27,960 and $13,980 respectively

d.

None of the above