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How much does diversification reduce the var

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Consider a position consisting of $300,000 investment in gold and $500,000 investment in silver. Suppose that thee daily volatilities of these two assets are 1.8% and 1.2%, respectively and that coefficient of correlation between their returns is 0.6. What is the 10-day 97.5% value at risk for the portfolio? By how much does diversification reduce the VAR?

Reference no: EM132328858

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