You are the risk manager for a portfolio with a mean daily return of 0.40% and a
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You are the risk manager for a portfolio with a mean daily return of 0.40% and a daily standard deviation of 2.3%. Assume the returns are normally distributed (not a good assumption to make, in general). What is the 95% VaR?
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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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