Your $1 million portfolio consists of 50% of Jacko with = 0.14,σ = 0.20 and 50% of Macko with = 0.10,σ = 0.15.The correlation coefficient is 0.25.What is the value at risk over 1 week at a 95% confidence level?
A) $23,447
B) $26,447
C) $29,447
D) $32,447

Question

Your $1 million portfolio consists of 50% of Jacko with  = 0.14,σ = 0.20 and 50% of Macko with  = 0.10,σ = 0.15.The correlation coefficient is 0.25.What is the value at risk over 1 week at a 95% confidence level?
A) $23,447 
B) $26,447 
C) $29,447 
D) $32,447

Quizplus · Accepted Answer

The Answer of Your $1 million portfolio consists of 50% of Jacko with  = 0.14,σ = 0.20 and 50% of Macko with  = 0.10,σ = 0.15.The correlation coefficient is 0.25.What is the value at risk over 1 week at a 95% confidence level?
A) $23,447 
B) $26,447 
C) $29,447 
D) $32,447

Your $1 Million Portfolio Consists of 50% of Jacko with