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1. Consider a position consisting of $100 in stock A and $200 in stock B. Suppose that the daily volatilities of the two stocks are 0.8% and 1.5%, respectively, and the coefficient of correlation between the two is p. At which value of p will the 10-day VaR (value at risk) for this portfolio be minimized? Please give a proof to support your answer. 

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  • Reference No.:- M91702018
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