Consider a position consisting of a $100,000 investment in asset A and a $100,000

Chapter 22, Problem 22.1

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Consider a position consisting of a $100,000 investment in asset A and a $100,000 investment in asset B. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3. What is the 5-day 99% VaR for the portfolio?

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