Question: Consider a position consisting of 100 in stock A and

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.

View Solution:

Sale on SolutionInn
  • CreatedAugust 26, 2013
  • Files Included
Post your question