微信扫一扫
实时资讯全掌握
|
An analyst is looking at the effect of changes in correlations between assets in her portfolio and computes the VAR for two assets in her portfolio. The VARs are as follows: VARX = $5.7m and VARY = $7.3. Compute the Portfolio VAR assuming that the correlation is +1. A. $12m. B. $13m. C. $10.80m. D. $8.65m. |