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

Question 20

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Your $1 million portfolio consists of 50% of Jacko with 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 = 0.14,σ = 0.20 and 50% of Macko with 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 = 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

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