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You are to evaluate a portfolio with a gold position of $300,000 and a $500,000 investment in silver. The daily volatilities of gold and silver
You are to evaluate a portfolio with a gold position of $300,000 and a $500,000 investment in silver. The daily volatilities of gold and silver are 1.8% and 1.2% respectively, and the correlation between their returns is 0.6. Calculate the 10-day 97.5% VaR for the portfolio? By how much does diversification reduce the VaR?
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