What is the 10-day 975 value at risk for the portfolio by


Consider a position consisting of a 5300,000 investment in gold and a 5500,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.8% and 1.2%, respectively, and that the coefficient of correlation between their returns is 0.6. What is the 10-day 97.5% value at risk for the portfolio? By how much does diversification reduce the VaR?

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Civil Engineering: What is the 10-day 975 value at risk for the portfolio by
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