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A stock has a beta of 0.5 with respect to the NIKKEI 225 index. The annual volatility of the NIKKEI 225 index is 30%. You

A stock has a beta of 0.5 with respect to the NIKKEI 225 index. The annual volatility of the NIKKEI 225 index is 30%. You are given that 1(0.95)=1.6449 1 ( 0.95 ) = 1.6449 . The 5% 10-day systematic VaR is:

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