A portfolio is composed of two securities and has the following characteristics:
- Investment in X: USD 1.8 million
- Investment in Y: USD 3.2 million
- Volatility of X: 8%
- Volatility of Y: 4%
- Correlation between X and Y: 15%
The portfolio diversified VaR at the 95% confidence level is closest to: | Financial Risk Manager Part 2 Quiz - LeetQuiz
Financial Risk Manager Part 2
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A portfolio is composed of two securities and has the following characteristics:
Investment in X: USD 1.8 million
Investment in Y: USD 3.2 million
Volatility of X: 8%
Volatility of Y: 4%
Correlation between X and Y: 15%
The portfolio diversified VaR at the 95% confidence level is closest to: