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A portfolio consists of two assets. $1 million is invested in Asset 1 and $2...

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Finance

A portfolio consists of two assets. $1 million is invested in Asset 1 and $2 million is invested in Asset 2. The estimated daily variance for Asset 1 is 0.01, for Asset 2 the daily variance is 0.005. The estimated covariance for the two assets is 0.002. What is the 10-day VaR at the 95% confidence level?

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