Explore the risk management of a portfolio, which combines a R 400,000 investment in gold and a R 600,000 investment in silver. Given the respective daily volatilities of 1.6% for gold and 1.3% for silver, along with a coefficient of correlation between their returns of 0.65, calculate the 10-day 97.5% VaR and VaR diversification benefit for the portfolio.

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22-07-2024
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Explore the risk management of a portfolio, which combines a R 400,000 investment in gold and a R 600,000 investment in silver. Given the respective daily volatilities of 1.6% for gold and 1.3% for silver, along with a coefficient of correlation between their returns of 0.65, calculate the 10-day 97.5% VaR and VaR diversification benefit for the portfolio.

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