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A portfolio has daily returns, discounted to today, with expectation 0.02% and a standard deviation of 2%. Which of the figures below is closest to

A portfolio has daily returns, discounted to today, with expectation 0.02% and a standard deviation of 2%. Which of the figures below is closest to the 5% annual VaR, as a percentage of the portfolio value, under the assumption that the returns are normal and independent? You are given that 1(0.95)=1.6449.

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