Consider a Two-Asset Portfolio Invested with $10 in Each Asset $10 \%$

Multiple Choice

Consider a two-asset portfolio invested with $10 in each asset. The mean returns of the two assets are $10 \%$ and $15 \%$ . The correlation of returns is 50%. The standard deviation of returns is 20% and 30%, respectively. What is the 99%-VaR of this portfolio?

A) 6.22
B) 7.66
C) 8.40
D) 10.58