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Consider a $20 million portfolio of stocks. The worst 10 annual returns for the portfolio are given below. They were generated by a Monte Carlo
Consider a $20 million portfolio of stocks. The worst 10 annual returns for the portfolio are given below. They were generated by a Monte Carlo simulation from a normal distribution of returns for the portfolio, with an expected annual return of 14.8 percent and a standard deviation of 20.5 percent and the total number of random outcomes of 400. -0.295 -0.293 -0.261 -0.256 -0.255 -0.243 0.232 -0.224 -0.203 -0.203 Compute the 5% monthly VaR, if the 10 returns above were the worst returns from a historical 10 year period of monthly returns. Select one: a 3.12m b. 5.12m e C. 4.86m d. 2.28m
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