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A manager has a portfolio with only one position: a $600m investment in X. The manager is considering adding a $600m position in Y or Z to the existing portfolio. The current volatility of X is 8%. The manager wants to limit portfolio VAR to $234 million at the 99% confidence level. Position Y has a return volatility of 10% and a correlation with X equal to 0.7. Position Z has a return volatility of 13% and a correlation with X equal to zero. Which of the two proposed additions (Y or Z) will keep the manager within his risk budget? A. Adding neither. B. Adding Z only. C. Adding Y only. D. Adding both. |
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