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Assume that daily portfolio returns are independently and identically normally distributed. Dylan Shaw, a new quantitative analyst, has been asked by the portfolio manager to
Assume that daily portfolio returns are independently and identically normally distributed. Dylan Shaw, a new quantitative analyst, has been asked by the portfolio manager to calculate portfolio VaRs for 10-, 15-, 20-, and 25-day periods. The portfolio manager notices something wrong with Dylan's calculations. Which one of following VaRs on this portfolio is inconsistent with the others?
10-day VaR = $316M
15-day VaR = $465M
25-day VaR = $600M
20-day VaR = $537M
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