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A portfolio of $25 million in the S&P 500. We collect a sample of daily returns on the S&P 500 for the past year and
A portfolio of $25 million in the S&P 500. We collect a sample of daily returns on the
S&P 500 for the past year and obtain the following parameter estimates: Average daily
return = 0.0457% and daily standard deviation = 1.3327%.
a) Find a 5% 1-day VAR.
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