Question: Using the same assumptions as in Example 26.3, compute VaR with and without the mean, assuming correlations of 1, 0.5, 0, 0.5, and 1. Is

Using the same assumptions as in Example 26.3, compute VaR with and without the mean, assuming correlations of −1, −0.5, 0, 0.5, and 1. Is risk eliminated with a correlation of −1? If not, why not?

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