Business, 28.07.2020 17:01 Brendah7145

Which of the following is approximately the Value at Risk at 5 percent of a portfolio of $10 million of asset A, whose expected return is 10 percent and volatility is 20 percent, and $10 million of asset B, whose expected return is 16 percent and volatility is 25 percent, where the correlation between the two assets is 0.1. A. $5.6 million
B. $10 million
C. $15 million
D. $1.25 million
E. none of the above

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Which of the following is approximately the Value at Risk at 5 percent of a portfolio of $10 million...

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