2. Question A risk manager at an investment bank is estimating the market risk of a portfolio both under the assumption of normally distributed arithmetic returns and normally distributed geometric returns. The manager gathers the following data on the portfolio's daily returns:

• Annualized average of arithmetic returns: 16%
• Annualized standard deviation of arithmetic returns: 27%
• Annualized average of geometric returns: 13%
• Annualized standard deviation of geometric returns: 29%
• Current portfolio value: EUR 5,200,000
• Trading days in a year: 252

Assuming both daily arithmetic returns and daily geometric returns are serially independent, which of the following statements is correct?