A bank has estimated its VAR for its bond portfolio is $25,600 and for its stock portfolio, it is $33,600. The correlation coefficient between the two portfolios is -0.25. How much VAR would be reduced if they were allowed to aggregate the VAR of the two portfolios?

Answer rating: 100% (QA)

Portfolio VAR w12 VAR1 w22 VAR2 2 w1 w2 SD1 SD2 Corr Le... View the full answer