Question
Question 1 Calculate the correlation between the two markets. Suppose you combine $500,000 invested in each market to construct a portfolio MF of $1 million
Question 1
Calculate the correlation between the two markets. Suppose you combine $500,000 invested in each market to construct a portfolio MF of $1 million invested equally in the two markets. Based on your calculations, which of the following is true?
A. VaR(MF) = VaR(Monetaria) + VaR(Fiscalia)
B. VaR(MF) < VaR(Monetaria) + VaR(Fiscalia)
C. VaR(MF) > VaR(Monetaria) + VaR(Fiscalia)
D. Depending on market conditions, VaR(MF) can be =, > or < the sum of the individual VaRs.
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Handbook Of Financial Markets Dynamics And Evolution
Authors: Thorsten Hens
1st Edition
0323165478, 978-0323165471
