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 are the risk-contribution proportions of each asset to the 99%-VaR of this portfolio?

A) 33:67
B) 36:64
C) 48:52
D) 50:50