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A portfolio consists of a $275,000 investment in gold and a $395,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.45% and 1.25%, respectively, and that the coefficient of correlation between their returns is 0.78. the 9-day 95% value at risk for the portfolio? By how much does diversification the VaR? What do you think the diversification benefit would be if the correlation coefficient = 1.0?

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Financial Management, Finance

Category:- Financial Management
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