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Consider a position consisting of $100 in stock A and $200 in stock B. Suppose that the daily volatilities of the two stocks are 0.8% and 1.

Consider a position consisting of $100 in stock A and $200 in stock B. Suppose that the daily volatilities of
the two stocks are 0.8% and 1.5%, respectively, and the coefficient of correlation between the two is p. At which
value of p will the 10-day VaR (value at risk) for this portfolio be minimized? Please give a proof to support your answer.

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Hi please find... View the full answer

8416161.docx

Calculation of correlation
Formula for two asset standard deviation

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