If the value of a portfolio follows a geometric Brownian motion with drift rate 6% and volatility 20%, then the log return of the portfolio from time to time is normally distributed with mean 6% 0.5(20%)^2 ( ) and variance 0.04( ).

What is the 10-day, 1% VaR of the portfolio? You should give your answer in terms of log-returns. You are also given the following number: For a standard normal random variable with zero mean and unit variance, the probability that z is less than or equal to -2.33 is approximately 1%.