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The daily returns of a portfolio are normally distributed with mean 0 and standard deviation of 5%. a. (4 points) What is the 1-day 1%

The daily returns of a portfolio are normally distributed with mean 0 and standard deviation of 5%. a. (4 points) What is the 1-day 1% VaR for the portfolio return? b. (3 points) What is the 1-day 2.5% VaR? c. (3 points) What is the 10-day 1% VaR?

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