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diversified-portfolio-var

  1. David Harper CFA FRM

    Component versus Incremental value at risk (VaR), Level 2

    Hi, Andrew raises a good question here, with respect to GARP's sample question. The setup gives a typical two-asset portfolio with correlations and asks, "If asset 1 is dropped from the portfolio, what will be the reduction in portfolio VaR?" I think that's a bit of a mean question because it...
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