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Suppose that the current daily volatilities of asset A and asset B are 2.76% and 2.44%, respectively. The prices of the assets at close of

Suppose that the current daily volatilities of asset A and asset B are 2.76% and 2.44%, respectively. The prices of the assets at close of trading yesterday were $35 and $52 and the estimate of the coefficient of correlation between the returns on the two assets made at that time was 0.32. The parameterused in the EWMA model is 0.95. (Round to four decimal places).

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