Which of the Following Is Approximately the Value at Risk

Multiple Choice

Which of the following is approximately the Value at Risk at 5 percent of a portfolio of $10 million of asset A,whose expected return is 15 percent and volatility is 35 percent,and $15 million of asset B,whose expected return is 21 percent and volatility is 30 percent,where the correlation between the two assets is 0.2.

A) $5.6 million
B) $10 million
C) $15 million
D) $1.25 million
E) none of the above