Explanation: The solution states: "The VaR will always be higher under the linear approximation method than a full revaluation conducted by Monte Carlo simulation analysis."

Reason: Linear approximation (delta-normal method) assumes a linear relationship between portfolio value and risk factors, which tends to overestimate VaR because it doesn't account for non-linear effects like gamma (convexity) that can reduce risk. Full revaluation Monte Carlo simulation provides a more accurate estimate by capturing the actual non-linear behavior of the portfolio.