You are to evaluate a portfolio with a gold position of $300,000 and a $500,000 investment...

You are to evaluate a portfolio with a gold position of $300,000 and a $500,000 investment in silver. The daily volatilities of gold and silver are 1.8% and 1.2% respectively, and the correlation between their returns is 0.6. Calculate the 10-day 97.5% VaR for the portfolio? By how much does diversification reduce the VaR?

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Consider a position consisting of a $300,000 investment in gold and a $500,000 investment in silver....

Consider a position consisting of a $300,000 investment in gold and a $500,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.8% and 1.2%, respectively, and that the coefficient of correlation between their returns is 0.6. What is the 10-day 97.5% VaR and ES for the portfolio? By how much does diversification reduce the VaR and ES? Suppose in the period that you did the question above the price of 1 unit of gold and...

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