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Assume a portfolio with a 1-day 99% VaR of 12,000. What is the portfolio's 10-day 99% VaR? a. 120,000 b. 36,233.293 c. 37,947.332

Assume a portfolio with a 1-day 99% VaR of 12,000. What is the portfolio's 10-day 99% VaR?

120,000

36,233.293

37,947.332

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