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Consider a Two-Asset Portfolio Invested with $10 in Each Asset 10%10 \%

Question 6

Multiple Choice

Consider a two-asset portfolio invested with $10 in each asset. The mean returns of the two assets are 10%10 \% and 15%15 \% . The correlation of returns is 50%. The standard deviation of returns is 20% and 30%, respectively. What is the 99%-VaR of this portfolio?


A) 6.22
B) 7.66
C) 8.40
D) 10.58

Correct Answer:

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