c) Suppose the value of a portfolio over a 30 -day period is log-normally distributed so that the 30 -day log-return has a mean of 2% and a variance of 0.03 . What is the 30 -day, 1% VaR of the portfolio expresses as log-returns? Use the fact that for a standard normal variable, the distribution N(.) yields N(2.33)=1%. What is the 60-day VaR? (9 marks)