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Suppose that a portfolio manager holds $40 million of ABC stock. ABC stock has an expected return (i.e., mean) of 0.12% per day and standard

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Suppose that a portfolio manager holds $40 million of ABC stock. ABC stock has an expected return (i.e., mean) of 0.12% per day and standard deviation (i.e., SD) of 0.94% per day. What is monthly 5% VaR for our portfolio? (assume there is 22 business days in the month) a. 0.74% O b. -1.43% O C. -2.07% O d. -4.63%

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