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Sumitomo Bank's risk manager has estimated that the DEARs of two of its major assets in its trading portfolio, foreign exchange and bonds, are -
Sumitomo Bank's risk manager has estimated that the DEARs of two of its major assets in its trading portfolio, foreign exchange and bonds, are $ and $ respectively.
What is the total DEAR of Sumitomo's trading portfolio if the correlation among assets is assumed to be
Hint: Please review the formula in Example For a twosecurity porfolio, the formula contains two squared terms and one interaction term only. Don't forget to take the square root to arrive a correct value.
A $
B $
C $
D $
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