Question
Question 3. You are given a portfolio of two assets whose returns are jointly distributed with the following vector and covariance matrix. 0.20 0.08 0.04
Question 3.
You are given a portfolio of two assets whose returns are jointly distributed with the following vector and covariance matrix.
0.20 0.08 0.04
0.10 0.04 0.06
a. Compute the 95% VaR of the portfolio if $1 is invested in the first asset and $1 is invested in the second.
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Financial Management Theory And Practice
Authors: Prasanna Chandra
8th Edition
0071078401, 978-0071078405
