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A portfolios return is normally distributed with mean 5% and standard deviation of 2.2%, both expressed in annual terms. Calculate 5% VaR as a percentage
A portfolios return is normally distributed with mean 5% and standard deviation of 2.2%, both expressed in annual terms. Calculate 5% VaR as a percentage of the mean return when the risk horizon is one year, six months, one month, and one day.
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