A portfolio manager who is concerned about the risk of a stock market crash over the next 10 days should (hint: a stock market crash will cause majority of the stocks to decline regardless of co-variance):
a. Should lower portfolio volatility by including stocks with high negative correlation.
b. Calculate the undiversified VaR of the portfolio
c. Calculate the VaR of the portfolio over the 10-day period to estimate the potential loss in the event of a stock market crash
d. None of the answers are correct Previous Next.