Calculate the one-day var at confidence level, Finance Basics

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Calculate the one-day var at confidence level

Problem

Assume a portfolio with an annual expected return of zero percent and an annual standard deviation of 10%. The current value of the portfolio is £1,000,000. Assume 250 trading days in a year. Calculate the 1-day VaR at 99% confidence level (z=2.33) (reported as a positive value).

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Finance Basics: Calculate the one-day var at confidence level

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Finance Basics: Calculate the one-day var at confidence level

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