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Suppose a portfolio consists of a USD 2 million investment in Euros and a USD 1.95 million investment in AUDs. Additional information is given below:
Suppose a portfolio consists of a USD 2 million investment in Euros and a USD 1.95 million investment in AUDs. Additional information is given below:
Portfolio beta of Euro is 0.89;
Portfolio beta of AUD is 1.45;
Diversified Portfolio VaR is USD 666000;
Based on the given information, the marginal VaR of the AUD position is Answer
. Note that marginal VaR is unitless. Please enter your answer in decimals and use four decimal places.
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