Your $1 million portfolio consists of 50% of Jacko with = 0.14, σ = 0.20 and 50% of Macko with ...

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Your $1 million portfolio consists of 50% of Jacko with = 0.14, σ = 0.20 and 50% of Macko with ...

Your $1 million portfolio consists of 50% of Jacko with = 0.14, σ = 0.20 and 50% of Macko with = 0.10, σ = 0.15. The correlation coefficient is 0.25. What is the value at risk over 1 week at a 95% confidence level?
A) $23,447
B) $26,447
C) $29,447
D) $32,447

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Derivatives Markets

Edition: 3^rd

Author: McDonald

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