Question: Arithmetic returns are normally distributed with mean 0.05 and standard deviation 0.25. Portfolio is currently worth $1000. (a) Calculate the 1-day 98% VaR (b) Interpret

Arithmetic returns are normally distributed with mean 0.05 and standard deviation 0.25. Portfolio is currently worth $1000. (a) Calculate the 1-day 98% VaR (b) Interpret the above 1-day 98% VaR

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