Financial Innovation

Table 5 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	0.02
VaR99%	201.47	227.40	244.65	251.17	240.88	200.41
VaR99.5%	223.07	248.57	264.45	268.46	253.84	206.46
VaR99.9%	267.62	292.22	305.28	304.10	280.57	218.93

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