Consider a portfolio of $800,000, which is equally invested into three risky assets. Assume the returns...

 

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Consider a portfolio of $800,000, which is equally invested into three risky assets. Assume the returns of risky assets have the same volatility, 2.5% per day, and the same correlation coefficient, 0.8. What is the diversification benefit for 10-day 97.5% VaR? Consider a portfolio of $800,000, which is equally invested into three risky assets. Assume the returns of risky assets have the same volatility, 2.5% per day, and the same correlation coefficient, 0.8. What is the diversification benefit for 10-day 97.5% VaR?

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To calculate the diversification benefit for the 10day 975 Value at Risk VaR of a portfolio with 800... View the full answer