Multiple Choice
An investor has $2,000 invested in stock A and $5,000 in stock B. The daily volatilities of A and B are 1.5% and 1% respectively and the coefficient of correlation is 0.8. What is the one day 99% VaR? Assume that returns are multivariate normal (Note that N(-2.326) =0.01)
A) $177
B) $135
C) $215
D) $331
Correct Answer:
Verified
Correct Answer:
Verified
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