Question: Assume that the correlation between T and Target is 0.07. ASSUME that you have $5,628,256 worth of T shares and $12,374,268 worth of Target shares.

Assume that the correlation between T and Target is 0.07. ASSUME that you have $5,628,256 worth of T shares and $12,374,268 worth of Target shares. The daily standard deviation of T return is 0.014 and the daily standard deviation of Target return is 0.019. Use N=5 and X=99, the VaR of your portfolio should be

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