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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Definitions:

Filtrate

The liquid that has passed through a filter, having had some of its particles removed in the process.

Nephron Tubules

The microscopic tubes within the kidney where blood is filtered, and urine is formed through processes of reabsorption and secretion.

Renal Plasma

The portion of the blood that flows through the kidneys and is involved in the filtration process to produce urine.

Tubular Reabsorption

Water and solutes move from the filtrate inside a kidney tubule into the peritubular capillaries.