# Your portfolio which consists of 46% of stock J, and 54% of stock K. J has daily

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## Question:

Your portfolio which consists of 46% of stock J, and 54% of stock K. J has daily Standard Deviation 3% while K has daily Standard Deviation 4%. The correlation of two stocks is -0.6. What is the 1 day and 1 week 98% absolute VaR given 5 trading days per week?

**Related Book For**

## Calculus Graphical, Numerical, Algebraic

ISBN: 9780132014083

3rd Edition

Authors: Ross L. Finney, Franklin D. Demana, Bert K. Waits, Daniel Kennedy