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A portfolio contains cash positions of $1m, $2m and $3m on three stocks named A, B and C respectively. The stocks A, B and C
A portfolio contains cash positions of $1m, $2m and $3m on three stocks named A, B and C respectively. The stocks A, B and C have market betas of 0.6, 1, and 1.2 respectively, with respect to an index whose excess returns are i.i.d. and normally distributed with expectation 2.5% and volatility 35% per annum. Calculate the 10% 5-day Equity VaR of the portfolio.
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