Consider a two-asset portfolio invested with $10 in each asset. The mean returns of the two assets are 12% and 18%. The correlation of returns is 50%. The standard deviation of returns is 25% and 40%,

Consider a two-asset portfolio invested with $10 in each asset. The mean returns of the two assets are 12% and 18%. The correlation of returns is 50%. The standard deviation of returns is 25% and 40%, respectively. What is the 99%-VaR of this portfolio?

Group of answer choices

A.9.21

B.10.21

C.8.21

D.11.21

1 Answer

Consider a two-asset portfolio invested with $10 in each asset. The mean returns of the two assets are 12% and 18%. The correlation of returns is 50%. The standard deviation of …

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