Financial Innovation

Table 4 Value-at-Risk for a portfolio of two assets (correlation ρ= 0.5)

From: Value-at-risk under ambiguity aversion

c =	0.5	0.4	0.3	0.2	0.1	0.05
VaR99%	307.75	331.53	342.05	336.20	304.65	269.14
VaR99.5%	340.75	363.87	372.30	362.60	324.45	283.53
VaR99.9%	408.80	430.54	434.67	417.04	365.28	313.19

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