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Suppose you invest $300,000 in gold and $500,000 in silver. The daily volatilities of these two assets are 1.8% and 1.2% respectively. The coefficient of

Suppose you invest $300,000 in gold and $500,000 in silver. The daily volatilities of these two assets are 1.8% and 1.2% respectively. 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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