The XYZ pension fund has 68%, or about 13 billion, invested in equities. Assume a normal distribution and volatility of 15% per annum. The fund measures absolute risk with a 95%, one-year Value at Risk, which gives -3.2 billion. The pension plan wants to allocate this risk to two equity managers, each with the same Value at Risk budget. Given that the correlation between managers is -0.5, the Value at Risk budget for each manger should be:

Question 8 options:

	-1.6 billion
	None of the other answers
	-2.2 billion
	-2.4 billion
	-1.9 billion