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Consider a position consisting of a RM300,000 investments in asset A and a RM500,000 investments...

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Accounting

Consider a position consisting of a RM300,000 investments in asset A and a RM500,000 investments in asset B. Assume that the daily volatilities of the assets are 1.8% and 1.2% respectively, and that the coefficient of correlation between their returns is 0.3. Calculate the five-day 95% value at risk for the portfolio. (8 marks

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