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An analyst gathers the following information about a $100 million portfolio:
Annual expected return: 10%
Annual expected standard deviation: 15%
Trading days in a year: 240
Using a normal distribution, where a 5% VaR is obtained using a point of 1.65 standard deviations left of the mean, the 5% 1-day VaR of the portfolio is closest to:
A
$61,400.
B
$926,500.
C
$1,555,939.