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Assume that portfolio daily returns are independent and identically normally distributed. Frankie Morrison, a new quant at Bank of Greenock, has been asked by the

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Assume that portfolio daily returns are independent and identically normally distributed. Frankie Morrison, a new quant at Bank of Greenock, has been asked by the portfolio manager to calculate portfolio Vars over 10, 15, 20 and 25 days. The portfolio manager notices something amiss with Frankie's calculations: = VaR (10-day) VaR (15-day) VaR (20-day) VaR (25-day) USD316 million USD465 million USD537 million USD600 million = Which one of the following VaRs on this portfolio is inconsistent with others

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