Question

Consider a two-asset portfolio invested with $10 in each asset. The mean returns of the two assets are 12% and 18%. The correlation of returns is 50%. The standard deviation of returns is 25% and 40%, respectively. What is the 99%-VaR of this portfolio?

Group of answer choices

A.9.21

B.10.21

C.8.21

D.11.21

Answer 1

B

Explanation : Because numbers numbers numbers numbers numbers numbers numbers numbers