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

question 21

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:

U.S. Net Exports

The value difference between what the United States exports to other countries and what it imports, which can be positive (surplus) or negative (deficit).

Aggregate Demand

The total call for goods and services throughout an economy, calculated at a predetermined price level during a given time period.

U.S. Financial Institutions

Organizations that provide financial services, such as banks, insurance companies, and stock exchanges, within the United States.

Bonds

A rephrased definition: Fixed-income investments that represent loans made by an investor to a borrower, typically corporate or governmental.