Question: What is the loss level that would only be exceeded in the one worst day out of twenty for a $100 million worth equity portfolio

What is the loss level that would only be exceeded in the one worst day out of twenty for a $100 million worth equity portfolio that is equally-weighted across 50 different stocks if the standard deviation of daily returns for each individual stock is identical at 2% and the correlation of daily returns is estimated as 0.50 for each possible pair of stocks that can be formed using the stocks in this portfolio?

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