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What is the 1% VaR over a 10-day horizon of $2 million invested in a fund whose annual returns in excess of the discount rate
What is the 1% VaR over a 10-day horizon of $2 million invested in a fund whose annual returns in excess of the discount rate are assumed to be normally distributed with mean 5% and volatility 25%? You may use the value 1 (0.01)=2.3263 where denotes the standard normal distribution function.
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