(d) A portfolio of stocks has daily returns which are assumed to be normally distributed with mean 0% and standard deviation 4%. The current value of the portfolio is $800 million. Please assume that the 1st percentile of the standard normal distribution is -2.33 and you should assume 252 days in a year. i) What is the 1-day 99% confidence VaR for this portfolio? (5 marks) ii) What is the 10-day 99% confidence VaR for this portfolio? (5 marks) iii) If the volatility of the portfolio was 90% per annum, how would the results in i) and ii) change? (10 marks) TOTT