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Suppose a portfolio is composed of two securities which has the following characteristics: a. Calculate the 4-week VaR at 99% confident level. b. How much

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Suppose a portfolio is composed of two securities which has the following characteristics: a. Calculate the 4-week VaR at 99% confident level. b. How much 4-week VaR in answer (a) is diversified away as a portfolio versus owning the assets individually. Suppose a portfolio is composed of two securities which has the following characteristics: a. Calculate the 4-week VaR at 99% confident level. b. How much 4-week VaR in answer (a) is diversified away as a portfolio versus owning the assets individually

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