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A portfolio consists of 100 shares of stock X and 100 shares of stock Y. The current price of X is $60 and the current price of Y $40. Annualized volatilities are 40% for X and 20% for Y. The correlation between the two stocks is .5. Assume the daily expected return on both stocks is equal to 0.

  • Calculate the VaR for 7 days at the 95% confidence level
  • Calculate the VaR for 28 days at the 95% confidence level

Reference no: EM131015414

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