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Kiera Reed is a portfolio manager for BCG Investments. Reed manages a $140,000,000 portfolio consisting of 30 percent European stocks and 70 percent U.S. stocks. If the VAR(1%) of the European stocks is 1.93 percent, or $810,600, the VAR(1%) of U.S. stocks is 2.13 percent, or $2,087,400, and the correlation between European and U.S. stocks is 0.62, what is the portfolio VAR(1%) on a percentage and dollar basis? A. 2.07% and $2.90 million. B. 1.90% and $2.90 million. C. 2.07% and $2.67 million. D. 1.90% and $2.67 million. |