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Saujana Bhd has a portfolio with a long position of Rm2 million in AAB bonds and short Rm1 million in Malaysian Government Securities (MGS). Volatilities

Saujana Bhd has a portfolio with a long position of Rm2 million in AAB bonds and short Rm1 million in Malaysian Government Securities (MGS). Volatilities are 1.58% and 1.90% per month, respectively, with a consideration of 0.9654. Compute the 95% monthly portfolio VaR and diversification effect. The answer is VaR=$23, 352, diversification benefits is ($60,138). But I don't know how to derive the

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