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Assume a portfolio with an annual expected return of zero percent and an annual standard deviation of 12.5%. The current value of the portfolio is

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Assume a portfolio with an annual expected return of zero percent and an annual standard deviation of 12.5%. The current value of the portfolio is 30000. The 1-day VaR at 99% confidence level is (reported as a positive value): O a. 23.94 O b. 323.87 O c. 457.34 O d. 64.77

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