The BT pension fund has 68%, or about $13 billion, invested in equities. Assume normal distribution and volatility of 15% per annum. The fund measures absolute risk with 95%, on-year VAR, which gives $3.2 billion. The pension plan wants to allocate this risk to two equity managers, each with the same VAR budget. 

The correlation between managers is 0.5, the VAR budget for each should be?

Answer rating: 100% (QA)

To allocate the VAR budget equally we can use ... View the full answer