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Suppose a hedge fund is interested in estimating their money at risk, out of the total $250 million they have invested in the stock market.
Suppose a hedge fund is interested in estimating their money at risk, out of the total $250 million they have invested in the stock market. Based on historical data 90% of the time the annual return was between -18.45% and 31.17%. Given this information, assuming a normal distribution, what is the 5% value at risk (VaR)?
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