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The expected return on my portfolio over the next day is 3%. The standard deviation of my portfolio daily returns is 20%. Find the worst-case
The expected return on my portfolio over the next day is 3%. The standard deviation of my portfolio daily returns is 20%. Find the worst-case return at 99% confidence level. That is, the return such that there is no more than 1% chance that the actual return will be lower than that, assuming normal return distribution.
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