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

question 11

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 is the 99%-VaR of this portfolio?

• A)6.22
• B)7.66
• C)8.40
• D)10.58

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Definitions:

Vague

Lacking clarity or precision in thought or expression, often intentionally.

Stiff Words

Words that are formal, rigid, or not commonly used in everyday conversation, often making communication seem less natural.

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The process of transferring information and understanding from one entity to another through the use of mutually understood signs and semiotic rules.

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The use of clear, straightforward, and easily understandable language aimed at ensuring effective communication with the audience.