Question - Consider that GM is trading at $37 and GE is trading at $14.
In your portfolio own $1,000,000 of GM and 6,000,000 of GE. GE has an annualized volatility of 38% and GM's annualized volatility is 46%.
The correlation between the two stocks is .27%.
Using your notes calculate:
a. The day 99% Var for each stock.
b. The 5 day 95% Var for the two stock portfolio.
c. The diversification benefit of holding GM stock at the 99% confidence interval for 10 days.
Attachment:- Reference.rar