Consider a Two-Asset Portfolio Invested with $10 in Each Asset $10 \%$

question 9

Multiple Choice

Consider a two-asset portfolio invested with $10 in each asset.The mean returns of the two assets are $10 \%$ and $15 \%$ .The correlation of returns is 50%.The standard deviation of returns is 20% and 30%,respectively.What are the risk-contribution proportions of each asset to the 99%-VaR of this portfolio?

• A)33:67
• B)36:64
• C)48:52
• D)50:50

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