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Suppose that the daily volatilities of these two assets are 1.8% and 1.2% respectively, and that the coefficient of correlation between their returns is 0.6.

Suppose that the daily volatilities of these two assets are 1.8% and 1.2% respectively, and that the coefficient of correlation between their returns is 0.6. what is the 10-day 97.5% VaR for the portfolio? By how much does diversification reduce the VaR?

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