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    Var for two asset portfolio using volatility

    Also I have another question: If nothing is specified in a question should we assume that the loss distribution follow NORMAL distribution and so that we can say that VaR will be subadditive?
  2. S

    Var for two asset portfolio using volatility

    David, Thanks for such a super fast reply. So this means that the VaR of the combined portfolio will be less than or atleast equal to VaR(A)+ VaR(B) Am I right?
  3. S

    Var for two asset portfolio using volatility

    David, I have one question. What should be the answer to a question like this: If portfolio A has a VaR of 100 and portfolio B has a VaR of 200, then the VaR of the portfolio C (= A + B) ? I know that VaR is not subadditive. But in case we assume normal distribution of loss then it...
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