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University Of California, Davis Operations And Supply Chain Management Assignment Help - Consider


Question - Consider the following two asset portfolio: Asset Position Value Return Standard Deviation (%) Beta (in thousands of USD) A 400 3.60 0.5 B 600 8.63 1.2 Portfolio 1,000 5.92 1.0 Calculate the component VaR of asset A and marginal VaR of asset B, respectively, at 95% confidence level? a. USD 21,773 and 0.1306 b. USD 21,773 and 0.1169 c. USD 19,477 and 0.1169 d. USD 19,477 and 0.1306

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