Illustrate what is the 10 days 97.5 var for portfolio? by, Ask an Expert

Management Studies

Q. Consider a position consisting of a300, 000 investments in gold and a 500,000 investment in silver. Suppose which the daily volatilities of these two asset are 1.8% and 1.2 % respectively and which the coefficient of correlation between their return is 6./0 illustrate what is the 10 days 97.5% VAR for portfolio? By elucidate how much does diversification reduce the VAR?

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Business Management, Management Studies

Category:- Business Management
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