A risk manager assumes that the joint distribution of returns is multivariate normal and calculates the...

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A risk manager assumes that the joint distribution of returns is multivariate normal and calculates the following risk measures for a two-asset portfolio: Asset A B Portfolio Position Individual VaR 100 23.3 Marginal VaR 0.176 Component VaR 17.6 100 46.6 0.44 44 200 61.6 61.6 If asset B is dropped from the portfolio, what is the reduction in portfolio Value at Risk (VAR)? A risk manager assumes that the joint distribution of returns is multivariate normal and calculates the following risk measures for a two-asset portfolio: Asset A B Portfolio Position Individual VaR 100 23.3 Marginal VaR 0.176 Component VaR 17.6 100 46.6 0.44 44 200 61.6 61.6 If asset B is dropped from the portfolio, what is the reduction in portfolio Value at Risk (VAR)?

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