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

---

Definitions:

Hans Eysenck

Rephrased from KT-2: A prominent British psychologist known for his contributions to the field of personality psychology, emphasizing the biological and genetic foundations of personality.

Non-assertive

Describes a behavior characterized by a lack of confidence or determination to express one's own needs or defend one's rights.

Esteem Needs

A concept in Maslow's hierarchy of needs representing the desire for respect, self-esteem, and the esteem from others.

Maslow's Hierarchy

A theory in psychology proposed by Abraham Maslow that categorizes human needs into a hierarchical structure, beginning with physiological needs and progressing to self-actualization.