Consider a two-asset portfolio invested with $10 in each asset.The mean returns of the two assets are $10 \%$ and $15 \%$ .The correlation of returns is 50%.The standard deviation of returns is 20% and 30%,respectively.What are the risk-contribution proportions of each asset to the 99%-VaR of this portfolio?
A)33:67
B)36:64
C)48:52
D)50:50

Question

Quizplus · Accepted Answer

The risk-contribution proportions are determined by the marginal VaR of each asset, which depends on the standard deviation and correlation. Asset 2, with a higher standard deviation and mean return, contributes more to the portfolio's risk.

Consider a Two-Asset Portfolio Invested with $10 in Each Asset 10%10 \%10%

Consider a Two-Asset Portfolio Invested with $10 in Each Asset $10 \%$