The average historical annual return on a stock is 7.16%, with a standard deviation of 44.35%. What is the 97.5% annual value-at-risk (VaR) on a $1 million investment in this stock?

Select one:

a. -$371,900

b. -$443,000

c. -$815,400

d. -$975,000

e. -$1,000,000