medium · FRM Part 1 Valuation and Risk Models
An institutional fund is composed of 50% in Asset A and 50% in Asset B. Asset A has an individual VaR of $100 and Asset B has an individual VaR of $100.
If the correlation between the assets is 0.60, what is the total portfolio VaR?
- $200.00
- $160.00
- $178.89
- $141.42
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