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Assuming a daily expected return of 0.0384% and daily standard deviation of 1.0112% (as in the example in the text), which of the following is

Assuming a daily expected return of 0.0384% and daily standard deviation of 1.0112% (as in the example in the text), which of the following is closest to the 1%VaR for a $150 million portfolio?

A) $3.5 million B) $52.4 million C) 31.4 million

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