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Consider a $900 Portfolio with Three Assets, Each Held in Equal

Question 19

Multiple Choice

Consider a $900 portfolio with three assets, each held in equal value. The VaR of the portfolio is such that an increase in $1 of any of the asset holdings results in a $0.05 increase in VaR. The VaR of this portfolio is approximately equal to:


A) $5
B) $15
C) $45
D) $135

Correct Answer:

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