Asset A investment of 200,000 and 500,000 for B. assume daily volatilities of the assets are 1.6%

and 1.2% respectively, and correlation coefficient between their return is 0.3: a) what is the one-day 95% VaR for the portfolio? b) which is the five-day 99% VaR for the portfolio? c) which conclusions can be drawn from the difference between the outcome of Parts a and b?

sort by best latest

MickS profile image77

MickS says

6 years ago
 |  Comment