Question: Consider two value processes W and Y that follow a Random Walk with drift, i.e. N(0, 1) and = H+0HZ, Z ~ N(0, 1)

Consider two value processes W and Y that follow a Random Walk with drift, i.e. N(0, 1) and = H+0HZ, Z ~ N(0,

Consider two value processes W and Y that follow a Random Walk with drift, i.e. N(0, 1) and = H+0HZ, Z ~ N(0, 1) 9% p.a., Both have an initial value of 80, = 11% p.a., 01 = 18% = = p.a., and 02 22% p.a. Assume that you have a portfolio P with an initial value of 80, and it contains equal weights of both assets W and Y. For which value of p is the 1-year 1% VaR equal to 24.2885. AW W and correlation coefficient p. = = H + 0HZ, Z 2 =

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