Consider a position consisting of a K200,000 investment in Asset A and a K300,000

investment in Asset B. Assume that the daily volatilities of the assets are 1.5% and 1.8% respectively, and that the coefficient of correlation between their returns is 0.4. What is the

five day 95% Value at Risk (VaR) for the portfolio (95% confidence level represents 1.65

standard deviations on the left side of a normal distribution)?

asked by guest
on Oct 24, 2024 at 2:23 am



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